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st: Finding the largest positive definite submatrix


From   Joseph Coveney <jcoveney@bigplanet.com>
To   Statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Finding the largest positive definite submatrix
Date   Thu, 08 Jun 2006 00:55:29 +0900

I'm using Stas Kolenikov's -polychoric- on data from a 70-item questionnaire
(102 respondents with complete responses) to obtain the matrix of polychoric
correlation coefficients to feed to Stata's -factormat-.

Alas, -factormat- complains that the correlation matrix is not positive
definite.  I would like to retain a subset of as many of the questionnaire
items as possible in the factor analysis.  What is the best way to return
the largest positive-definite submatrix from the correlation matrix?

Joseph Coveney

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