R: Inversion of (possibly singular) symmetric matrices

solvecov {fpc} | R Documentation

## Inversion of (possibly singular) symmetric matrices

### Description

Tries to invert a matrix by `solve`. If this fails because of singularity, an eigenvector decomposition is computed, and eigenvalues below `1/cmax` are replaced by `1/cmax`, i.e., `cmax` will be the corresponding eigenvalue of the inverted matrix.

### Usage

    solvecov(m, cmax = 1e+10)

### Arguments

`m` | a numeric symmetric matrix.
`cmax` | a positive value, see above.

### Value

A list with the following components:

`inv` | the inverted matrix
`coll` | `TRUE` if `solve` failed because of singularity.

### Author(s)

Christian Hennig c.hennig@ucl.ac.uk http://www.homepages.ucl.ac.uk/~ucakche/

### See Also

`solve`, `eigen`

### Examples

      x <- c(1,0,0,1,0,1,0,0,1)
      dim(x) <- c(3,3)
      solvecov(x)

[Package fpc version 2.1-10 Index]