Matrix is singular to working precision.

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economics student
economics student 2018 年 8 月 13 日
コメント済み: economics student 2018 年 8 月 13 日
Hi, when downloading some time series the result provided is Matrix is singular to working precision. The data are quite similar, could that be the underlying reason?

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James Tursa
James Tursa 2018 年 8 月 13 日
編集済み: James Tursa 2018 年 8 月 13 日
If a square matrix has rows or columns that are very nearly the same, then yes this would cause the matrix to be singular to working precision.
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James Tursa
James Tursa 2018 年 8 月 13 日
Impossible to advise you without knowing what problem you are trying to solve. I.e., what does the data represent and what are you trying to do with it downstream in your code.
economics student
economics student 2018 年 8 月 13 日
The data corresponds to volatility series from banks. I am trying to calculate pairwise return connectedness and net directional connectedness via the evaluation of the proportions of the variation of the forecast errors in several places due to the shocks that arise elsewhere, via variance decompositions

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