Why does the rmvnorm () function return "In sqrt (ev $ values): NaNs is produced", what is this error and how can it be fixed or avoided?

Question

I work with financial / economic data if you are wondering about the large sizes of some of the coefficients below ... My general question is about modeling the coefficients of parameters derived from the linear random effects model in R. I am trying to create a random sample of beta coefficients using model coefficients and the variance-covariance matrix (VCOV) from the same model in R. My question is: why do I get the error below about the square root of the expected values ​​using the rmvnorm () function from the mvtnorm {} package? How can I deal with this warning / issue?

#Example call: lmer model with random effects by YEAR
#mlm<-lmer(DV~V1+V2+V3+V2*V3+V4+V5+V6+V7+V8+V9+V10+V11+(1|YEAR), data=dat)
#Note: 5 years (5 random effects total)

#LMER call yields the following information:
coef<-as.matrix(c(-28037800,0.8368619,2816347,8681918,-414002.6,371010.7,-26580.84,80.17909,271.417,-239.1172,3.463785,-828326))

sigma<-as.matrix(rbind(c(1834279134971.21,-415.95,-114036304870.57,-162630699769.14,-23984428143.44,-94539802675.96,
                       -4666823087.67,-93751.98,1735816.34,-1592542.75,3618.67,14526547722.87),
                 c(-415.95,0.00,41.69,94.17,-8.94,-22.11,-0.55,0.00,0.00,0.00,0.00,-7.97),
                 c(-114036304870.57,41.69,12186704885.94,12656728536.44,-227877587.40,-2267464778.61,
                       -4318868.82,8909.65,-355608.46,338303.72,-321.78,-1393244913.64),
                 c(-162630699769.14,94.17,12656728536.44,33599776473.37,542843422.84,4678344700.91,-27441015.29,
                       12106.86,-225140.89,246828.39,-593.79,-2445378925.66),
                 c(-23984428143.44,-8.94,-227877587.40,542843422.84,32114305557.09,-624207176.98,-23072090.09,
                       2051.16,51800.37,-49815.41,-163.76,2452174.23),
                 c(-94539802675.96,-22.11,-2267464778.61,4678344700.91,-624207176.98,603769409172.72,90275299.55,
                       9267.90,208538.76,-209180.69,-304.18,-7519167.05),
                 c(-4666823087.67,-0.55,-4318868.82,-27441015.29,-23072090.09,90275299.55,82486186.42,-100.73,
                       15112.56,-15119.40,-1.34,-2476672.62),
                 c(-93751.98,0.00,8909.65,12106.86,2051.16,9267.90,-100.73,2.54,8.73,-10.15,-0.01,-1507.62),
                 c(1735816.34,0.00,-355608.46,-225140.89,51800.37,208538.76,15112.56,8.73,527.85,-535.53,-0.01,21968.29),
                 c(-1592542.75,0.00,338303.72,246828.39,-49815.41,-209180.69,-15119.40,-10.15,-535.53,545.26,0.01,-23262.72),
                 c(3618.67,0.00,-321.78,-593.79,-163.76,-304.18,-1.34,-0.01,-0.01,0.01,0.01,42.90),
                 c(14526547722.87,-7.97,-1393244913.64,-2445378925.66,2452174.23,-7519167.05,-2476672.62,-1507.62,21968.29,
                        -23262.72,42.90,229188496.83)))
#Error begins here:
betas<-rmvnorm(n=1000, mean=coef, sigma=sigma)
#rmvnorm breaks, Error returned:

Warning message: in sqrt (ev $ values): created by NaN

Google : "rmvnorm", : sqrt (ev $values): NaN: " , : http://www.nickfieller.staff.shef.ac.uk/sheff-only/mvatasksols6-9.pdf 4 " ". , , .

: [http://www.r-tutor.com/r-introduction/basic-data-types/complex 2 , - -1, " " ( -1).

, ?

sessionInfo() R 3.0.2 (2013-09-25) : x86_64-apple-darwin10.8.0 (64- )

/ mvtnorm_0.9-9994, lme4_1.1-5, Rcpp_0.10.3, Matrix_1.1-2-2, lattice_0.20-23

Answer 1

:

range(eigen(sigma)$values)
## [1] -1.005407e-05  1.863477e+12

mvrnorm MASS , R. :

set.seed(1001)
m <- MASS::mvrnorm(n=1000, mu=coef, Sigma=sigma)  ## works fine

edit: OP , method="svd" rmvnorm.

MASS::mvrnorm debug(MASS:mvrnorm) , ,

if (!all(ev >= -tol * abs(ev[1L]))) stop("'Sigma' is not positive definite")

( ev - , ev[1] - ), -. ev[1L] 2e12, tol 1e-6, 2e6. -1e-5, .

MASS::mvrnorm pmax(ev,0) - , , (.. ), , .

rmvnorm, Matrix::nearPD, - , ( ) " , ified":

m <- Matrix::nearPD(sigma)
range(m$eigenvalues)
## [1] 1.863477e+04 1.863477e+12

, , - nearPD eigen , .

range(eigen(m$mat)$values)
## [1] 1.861280e+04 1.863477e+12

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• , (.. ), . , , . dput(vcov(fit)) save(vcov(fit)) .
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