I have computed a covariance data using TPrincipal Class.
This class, for some reason, return a lower triangular matrix instead of a symmetric matrix.
Ho can I symmetrize it?
I have tried:
TMatrixD* m = p.GetCovarianceMatrix();
TMatrixDSym sym; sym.Use(m->GetNrows(),m->GetMatrixArray());
where p is the TPrincipal object
But this seems not to work.
I attach plots for the matrices “m” and “sym” which are exactly identical.