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Look into speeding up Matrix::nearPD() #7

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adknudson opened this issue Jun 6, 2020 · 2 comments
Closed

Look into speeding up Matrix::nearPD() #7

adknudson opened this issue Jun 6, 2020 · 2 comments
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@adknudson adknudson added the enhancement New feature or request label Jun 6, 2020
@adknudson adknudson self-assigned this Jun 6, 2020
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grizant commented Jun 6, 2020

https://cran.r-project.org/web/packages/CovTools/CovTools.pdf

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With the addition of nearPSDcor(), I can close this issue. nearPSDcor() is a quadratically convergent method for finding the nearest positive semi-definite correlation matrix and should be faster than Matrix::nearPD() for larger matrices. I will begin integration and Rcpp speedups in the coming days.

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