POSITIVE DEFINITENESS VIA OFF-DIAGONAL SCALING OF A SYMMETRIC INDEFINITE MATRIX

Indefinite symmetric matrices that are estimates of positive-definite population matrices occur in a variety of contexts such as correlation matrices computed from pairwise present missing data and multi-normal based methods for discretized variables. This note describes a methodology for scaling selected off-diagonal rows and columns of such a matrix to achieve positive definiteness. As a contrast to recently developed ridge procedures, the proposed method does not need variables to contain measurement errors. When minimum trace factor analysis is used to implement the theory, only correlations that are associated with Heywood cases are shrunk.