21 июл. 2015 г. · There is a chance that numerical problems make the covariance matrix non-positive definite, though they are positive definite in theory. Also, ...

9 июл. 2020 г. · I am trying to calculate the betas and alphas from the CAPM model, for 62 stocks, using a var model but i get this error message.

26 нояб. 2016 г. · A necessary and sufficient condition for a complex matrix A to be positive definite is that the Hermitian part A_H = 1/2·(A+A^H) is positive definite.

14 июн. 2012 г. · The covariance matrix is not positive definite because it is singular. That means that at least one of your variables can be expressed as a linear combination ...

If a parameter is declared as a cov_matrix, then it is positive definite with probability one. But numerically it can fail the check for positive definiteness ...

19 июн. 2023 г. · covariance matrix not positive definite. Within-study covariance matrix in study 1 defined by variables V11 V12 V22 V33 V13 V23 not positive ...

It produces a positive semidefinite estimate of the between-study covariance ... The estimator bΣJWR is symmetric but not necessarily positive semidefinite.

4 июн. 2024 г. · This usually happens when you have the same variable entered into your data twice - either actually, because you made a mistake, or because two variables have ...

The classic cause is a linear redundancy among the variables. But it's also likely to do with missing data.

9 февр. 2021 г. · For a multivariate normal, "The covariance matrix cov must be a (symmetric) positive semi-definite matrix" (from scipy docs).