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Re: Not positive definite correlation matrix [message #24656 is a reply to message #24647] |
Wed, 15 June 2022 09:01 |
Janet-DHS
Messages: 899 Registered: April 2022
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Senior Member |
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Following is a response from DHS Research & Data Analysis Director, Tom Pullum:
"Not positive definite" means that a matrix cannot be inverted because the components are too highly correlated with one another. It's equivalent to "multi-collinearity". When this happens during the construction of the wealth index with principal components analysis, I believe it is basically a judgment call how to reduce the number of variables. I don't believe there is any formal guidance on what to keep and what to drop--and I don't think it would make much difference, because multi-collinearity just means that the variables are duplicating each other.
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