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Re: st: Question II about -drawnorm- for two normally distributed variables


From   "Tom Trikalinos" <[email protected]>
To   [email protected]
Subject   Re: st: Question II about -drawnorm- for two normally distributed variables
Date   Tue, 18 Mar 2008 19:47:06 -0400

covariance and correlation matrices cannot be negative definite.

your covariance matrix

.05  .11
.11  .02

e.g. it has a negative determinant (approx -0.011).  Otherwise said,
one of the eignevalues is negative (-.076), the other is approx
0.15...

you cov matrix corresponds to a correlation matrix:

1.0   3.5
3.5  1.0

which is obviously not valid...

t

t

Depending of how this has arisen it may be a mistake, or you may have
to "bound" the covariance to correspond to a correlation


On Tue, Mar 18, 2008 at 6:04 PM,  <[email protected]> wrote:
> Dear all,
>
>  Would it be possible to you to explain why I am getting this:
>
>  mean1 = 0.4+-0.05 (+-variance)
>  mean2 = 0.2+-0.02 (+-variance)
>
>  covariance = 0.11
>
>  corr2data cholesterol1 cholesterol2, means(0.4  0.2) cov(0.05, 0.11\ 0.11,
>  0.02) cstorage(full) n(100)
>
>  . 0.05, 0.11\ 0.11, 0.02 not positive (semi)definite
>  . r(506);
>
>
>
>  Any idea?
>
>  thank you!
>
>  Tiago
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