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How to avoid np linalg error not positive matrix #110

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jingmouren opened this issue Sep 13, 2023 · 1 comment

jingmouren commented Sep 13, 2023

from_ewmas(myreturns,...) raised error np linalg error not positive matrix.
How to find which ticks correlated, or how to solve other way?

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kasperjo commented Mar 25, 2024

Try to compute a sample covariance on parts of your data and see if it is PSD.

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