Love this blog!

I have a question about singular covariance matrices! I seem to have run into one...and my understanding is that this should not be the case. I am considering a 189x189 covariance matrix produced by a major ratings agency. I tried to use this covariance matrix to produce a correlation matrix, but the covariance matrix appears to be non-invertible, or singular, or have a determinant = 0.

Does your IML text or your simulation text address this scenario?

Thanks

Brian