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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: 698
Registered: April 2022

Senior Member

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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		Not positive definite correlation matrix By: kptanalgo on Tue, 14 June 2022 03:32
		Re: Not positive definite correlation matrix By: Janet-DHS on Wed, 15 June 2022 09:01

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