[ot-users] positive semi-definite correlation matrix

Henning Brüske henbrr at byg.dtu.dk
Wed Jul 5 15:53:17 CEST 2017

Hello OpenTURNS users,

I just realised that OT requires positive definite correlation or covariance matrices. Usually semi-definite is enough. A 2-dim correlation matrix like [1, -1, -1, 1] should be valid as input but neither NormalCopula nor Normal distribution accept a positive semi-definite matrix.

Is there a work around or is this a bug?

Best regards,

-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://openturns.org/pipermail/users/attachments/20170705/704f01bb/attachment.html>

More information about the users mailing list