topic Re: Corr matrix not positive definite in SAS Programming

Corr matrix not positive definite

kaodubela — Thu, 21 Jun 2018 16:24:34 GMT

Hey!

I want to do a path analysis with proc CALIS but I keep getting an error that my correlation matrix is not positive definite.

Is there a way to make the matrix positive definite? Its a 43 x 43 lower diagonal matrix I generated from Excel. I don't want to go about removing the variables one by one because there are many of them, and that will take much time too.

Thanks!

Re: Corr matrix not positive definite

Reeza — Thu, 21 Jun 2018 16:28:58 GMT

How did you calculate the correlation matrix? I would recommend doing it in SAS so your full process is reproducible.

Re: Corr matrix not positive definite

PaigeMiller — Thu, 21 Jun 2018 17:07:23 GMT

A correlation matrix can fail "positive definite" if it has some variables (or linear combinations of variables) with a perfect +1 or -1 correlation with another variable (or another linear combination of variables).

In that case, you would want to identify these perfect correlations and remove at least one variable from the analysis, as it is not needed.

Re: Corr matrix not positive definite

pau13rown — Thu, 21 Jun 2018 17:22:10 GMT

@Rick_SAShad a blog post about this: https://blogs.sas.com/content/iml/2012/11/28/computing-the-nearest-correlation-matrix.html

Re: Corr matrix not positive definite

kaodubela — Thu, 21 Jun 2018 19:05:45 GMT

Thanks. I'll get the Corr matrix with SAS for a start.

Re: Corr matrix not positive definite

kaodubela — Thu, 21 Jun 2018 19:07:02 GMT

Thanks. I'll check the matrix for such variables.

Re: Corr matrix not positive definite

Rick_SAS — Thu, 21 Jun 2018 22:21:34 GMT

What does "Lower diagonal" mean? A correlation matrix must be symmetric. If you don't have symmetry, you don't have a valid correlation matrix, so don't worry about positive definite until you've addressed the symmetry issue.