Compute the semi-positive definite projection of SigA.hat with smallest eigenvalue lower bounded by eps — Spd.proj • TransCLIME

Compute the semi-positive definite projection of SigA.hat with smallest eigenvalue lower bounded by eps

Usage

Spd.proj(SigA.hat, eps = NULL)

Arguments

SigA.hat: is the input matrix
eps: is the epsilon value

Value

is a named list containing

mat SOMETHING
conv SOMETHING