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Eigenvalue floor stabilisation

Source: R/covariance_stabilisation.R
stabilize_eigenfloor.Rd

Stabilises a symmetric covariance matrix by replacing eigenvalues smaller than a positive threshold with that threshold.

Usage

stabilize_eigenfloor(Sigma, eps = 1e-06)

Arguments

Sigma

A square symmetric covariance matrix.

eps

Positive eigenvalue floor.

Value

A symmetric positive definite covariance matrix.

Examples

Sigma <- matrix(c(1, 1, 1, 1), nrow = 2)
eigen(stabilize_eigenfloor(Sigma))$values
#> [1] 2e+00 1e-06