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If my estimated correlation matrix has all positive but complex value and imaginary terms are close to zero then is it possible?
Vanita
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Is every correlation matrix positive semi-definite?

I am generating correlation matrix by some new algorithm. Generated matrix is non positive semi-definite matrix.

I'm getting a few negative eigenvalues. The rest of eigenvalues are quite equal to the ideal matrix.

Can I use that non positive semi-definite matrix? If not, why?

If my estimated correlation matrix has all positive but complex value and imaginary terms are close to zero then is it possible?

Vanita
  • 91
  • 1
  • 4