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I want to create a normal distribution with a MU = 0 and SIGMA = cov(A); A is a 4000*5460 matrix. I get this error: SIGMA must be a square, symmetric, positive definite matrix.

Since the error is related to the Cholesky transformation and negative eignvalues, I used SVD and retained first positive 745 eigenvalues which describe 95% of variance. Using this new SIGMA, I get the same error.

Fatemeh
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  • why is it that with A=randi([-10 10],4000,5460);B=cov(A); I don't get any error? what do you have in A? complex values? – John BG May 02 '23 at 10:31

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