Code & data — Further improvement of bending performance for conditioning covariance matrices
A Jupyter Notebook (.ipynb) and its corresponding R Markdown (.rmd) and HTML (.html) files are provided. It provides the code to reproduce and analyze the data, and the results. Different bending procedures are compared based on the modification of eigenvalues. An updated bending procedure is presented, in which not only the eigenvalues smaller than a small positive value (Ɛ) are changed to Ɛ, but the smallest eigenvalue greater than Ɛ is gradually reduced as long as the bending performance is improved (reduced average absolute deviation between the upper triangle elements of the original matrix and the bent matrix).
Steps to reproduce
V = matrix(c( 100, 95, 80, 40, 40, 95, 100, 95, 80, 40, 80, 95, 100, 95, 80, 40, 80, 95, 100, 95, 40, 40, 80, 95, 100), nrow=5, byrow=TRUE )