SUPPORT / SAMPLES & SAS NOTES
Problem Note 16114: Tolerance for Non Positive Semi Definite Covariance Matrix can not be set in SAS Risk Dimensions 3.3
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If a covariance matrix is supplied that is not positive semi definite (PSD), the matrix will be "fixed", during the delta normal or monte carlo simulation analyses, using a Spectral Decomposition. Currently there is no way of skipping this step or lowering the tolerance for the check.
Select the Hot Fix tab in this note to access the hot fix for this issue.
Operating System and Release Information
| Product Family | Product | System | Product Release | SAS Release | ||
| Reported | Fixed* | Reported | Fixed* | |||
| SAS System | SAS Risk Dimensions Enterprise Edition | Microsoft Windows 95/98 | 3.3 | |||
| Microsoft Windows NT Workstation | 3.3 | 4.2 | 9.1 TS1M3 SP4 | |||
| Microsoft Windows 2000 Server | 3.3 | 4.2 | 9.1 TS1M3 SP4 | |||
| Windows Millennium Edition (Me) | 3.3 | |||||
| Microsoft Windows 2000 Datacenter Server | 3.3 | 4.2 | 9.1 TS1M3 SP4 | |||
| Microsoft Windows 2000 Professional | 3.3 | 4.2 | 9.1 TS1M3 SP4 | |||
| Solaris | 3.3 | 4.2 | 9.1 TS1M3 SP4 | |||
| Microsoft Windows 2000 Advanced Server | 3.3 | 4.2 | 9.1 TS1M3 SP4 | |||
| 64-bit Enabled HP-UX | 3.3 | 4.2 | 9.1 TS1M3 SP4 | |||
| 64-bit Enabled Solaris | 3.3 | 4.2 | 9.1 TS1M3 SP4 | |||
| HP-UX | 3.3 | 4.2 | 9.1 TS1M3 SP4 | |||
| 64-bit Enabled AIX | 3.3 | 4.2 | 9.1 TS1M3 SP4 | |||
| Tru64 UNIX | 3.3 | 4.2 | 9.1 TS1M3 SP4 | |||
| AIX | 3.3 | 4.2 | 9.1 TS1M3 SP4 | |||