Hi,
I'm using the psdroot() (generalized Choleski) for the first time
"seriously" and have some questions.
- In one case there is an eigenvalue -1.2906e-006 in the input matrix,
but psdroot still goes to work. So I guess there is no check on whether
the matrix is actually PSD?
- In another case I have an eigenvalue 3.6950e-016 (so zero apart from
machine precision). There psdroot() produces a 'nan' output for one
element and gretl spits out a warning. But since psdroot does exist
exactly for the case of zero eigenvalues (otherwise one could use
cholesky), why does that happen? Any hints/ideas?
It's not so easy to post these examples because the printed precision is
not enough to differentiate the cases.
Thanks,
sven