Re: [R] computationally singular

From: Kjetil Brinchmann Halvorsen <kjetil_at_acelerate.com>
Date: Thu 11 Aug 2005 - 11:06:28 EST

Weiwei Shi wrote:

>I think the problem might be caused two variables are very correlated.
>Should I check the cov matrix and try to delete some?
>But i am just not quite sure of your reply. Could you detail it with some steps?
>
>thanks,
>
>
Why not do principal component analysis? To identify the zero variance linear combination(s) look at the nzero eigenvalues. Also, it *might* make sense
to calculate a " mahalanobis" distance replacing the matrix inverse with a pseudoinverse.

Kjetil

>weiwei
>
>On 8/8/05, Christian Hennig <chrish@stats.ucl.ac.uk> wrote:
>
>
>>Once I had a situation where the reason was that the variables were
>>scaled to extremely different magnitudes. 1e-25 is a *very* small number
>>but still there is some probability that it may help to look up standard
>>deviations and to multiply the
>>variable with the smallest st.dev. with 1e20 or something.
>>
>>Best,
>>Christian
>>
>>On Mon, 8 Aug 2005, Weiwei Shi wrote:
>>
>>
>>
>>>Hi,
>>>I have a dataset which has around 138 variables and 30,000 cases. I am
>>>trying to calculate a mahalanobis distance matrix for them and my
>>>procedure is like this:
>>>
>>>Suppose my data is stored in mymatrix
>>>
>>>
>>>>S<-cov(mymatrix) # this is fine
>>>>D<-sapply(1:nrow(mymatrix), function(i) mahalanobis(mymatrix, mymatrix[i,], S))
>>>>
>>>>
>>>Error in solve.default(cov, ...) : system is computationally singular:
>>>reciprocal condition number = 1.09501e-25
>>>
>>>I understand the error message but I don't know how to trace down
>>>which variables caused this so that I can "sacrifice" them if there
>>>are not a lot. Again, not sure if it is due to some variables and not
>>>sure if dropping variables is a good idea either.
>>>
>>>Thanks for help,
>>>
>>>weiwei
>>>
>>>
>>>--
>>>Weiwei Shi, Ph.D
>>>
>>>"Did you always know?"
>>>"No, I did not. But I believed..."
>>>---Matrix III
>>>
>>>______________________________________________
>>>R-help@stat.math.ethz.ch mailing list
>>>https://stat.ethz.ch/mailman/listinfo/r-help
>>>PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
>>>
>>>
>>>
>>*** NEW ADDRESS! ***
>>Christian Hennig
>>University College London, Department of Statistical Science
>>Gower St., London WC1E 6BT, phone +44 207 679 1698
>>chrish@stats.ucl.ac.uk, www.homepages.ucl.ac.uk/~ucakche
>>
>>
>>
>
>
>
>

-- 

Kjetil Halvorsen.

Peace is the most effective weapon of mass construction.
               --  Mahdi Elmandjra





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Received on Thu Aug 11 12:20:03 2005

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