Knowledge Base

Correlation Matrix

The Correlation Matrix button on the toolbar can be used to check if a correlation matrix is positive-definite and, if necessary, make minor changes.

Correlation matrices must be positive definite. See this article on multivariate distributions.

If you see #VALUE errors when constructing a multivariate distribution, your correlation matrix may be the problem. Select the matrix – just the data, with no header row or column. Then click the Correlation Matrix button on the toolbar.

If the matrix is OK, you will get a message to that effect. If not, the tool will attempt to find a close substitute that meets the criteria. You always undo the changes using Ctrl+Z.

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