[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,
Henning

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