Correlation matrix coherence audit
Check symmetry, unit diagonal and positive semidefiniteness before using a correlation matrix.
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Use the same variable order for rows and columns. Every entry must be in −1 to 1, diagonal entries one, and symmetry within 1e−9.
The starting values are hypothetical. Results update as you edit. Use aggregate or synthetic inputs only.
Calculation results
- Smallest eigenvalue
- 0.48716053
- Eigenvalues
- 0.4871605, 0.8289308, 1.683909
- Assessment
- Positive definite within numerical tolerance.
How to interpret the output
A symmetric correlation matrix must be positive semidefinite. Jacobi rotations estimate eigenvalues; values within 1e−8 of zero are treated as numerical boundary values. A valid matrix can still come from biased data. Pairwise deletion may produce an incoherent matrix. No automatic repair is applied.
Method referenceSource checked 2026-11-06. Read the reproducible calculator validation report.