public double[,] GetCoefficientsMatrix()
{
double[,] matrix = new double[Correlations.GetLength(0), Correlations.GetLength(1)];
for (int i = 0; i < Correlations.GetLength(0); i++)
{
for (int j = 0; j < Correlations.GetLength(1); j++)
{
matrix[i, j] = Correlations[i, j].Coefficient;
}
}
return(matrix);
}
public void AdjustToPositiveSemiDefinite()
{
int iNum = Correlations.GetLength(0);
double minEigen = eigenvalues.Min();
if (minEigen < 0)
{
for (int i = 0; i < iNum; i++)
{
Correlations[i, i].Coefficient = Correlations[i, i].Coefficient - minEigen * 1.000000001;
}
for (int i = 0; i < iNum; i++)
{
for (int j = 0; j < iNum; j++)
{
Correlations[i, j].Coefficient = Correlations[i, j].Coefficient / (1 - minEigen * 1.000000001);
}
}
}
}