Check a Matrix is Positive Definite

is_pos_def makes a correlation matrix from a vector

is_pos_def(cor_mat, tol = 1e-08)

Arguments

cor_mat	a correlation matrix
tol	the tolerance for comparing eigenvalues to 0

Value

logical value

Examples

is_pos_def(matrix(c(1, .5, .5, 1), 2)) # returns TRUE
#> [1] TRUE
is_pos_def(matrix(c(1, .9, .9,
                   .9, 1, -.2,
                   .9, -.2, 1), 3)) # returns FALSE
#> [1] FALSE