Covariance Bug reproducer

covariance_reproducer.jl

using NamedArrays

function compute_covariance{T <: AbstractFloat}( M::AbstractArray{T,2}, I::AbstractArray{T,2})
    return make_positive_definite( (M'*M) ./ (I'*I) )
end

make_positive_definite{T <: AbstractFloat}( m::AbstractArray{T,2}, epsilon::Real=1e-8 ) = nearPSD(m,epsilon)

nearPSD{T <: AbstractFloat}( A::NamedArrays.NamedArray{T,2}, epsilon::Real=1e-12 ) =
    NamedArrays.NamedArray( nearPSD(A.array), (names(A,1), names(A,2)), A.dimnames )

function nearPSD{T <: AbstractFloat}( A::Array{T,2}, epsilon::Real=1e-12 )
    n = size(A,1)
    @assert size(A,1) == size(A,2)
    A = 0.5(A+A')
    λ, S = eig(A)
    λ = max(λ,epsilon)
    r =  S * diagm(λ) * S'
    return 0.5(r+r')
end

open("/tmp/r.ser") do f
    global r = deserialize(f)
end
open("/tmp/I.ser") do f
    global I = deserialize(f)
end

result = compute_covariance(r',I')