Generate Gassian Colored Noise
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Matt J
2014 年 5 月 23 日
編集済み: Matt J
2014 年 5 月 23 日
5 件のコメント
Matt J
2014 年 5 月 24 日
編集済み: Matt J
2014 年 5 月 24 日
If R is close to singular, it can be mis-perceived as having some negative eigenvalues (and hence as not being psd) due to numerical imprecision.
However, if your R is close to singular, it really means you're taking the covariance of have some redundant variables - some of them are approximately linear combinations of the others - and should get rid of them.
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