How To Fix RY325 - Covariance matrix is not positively definite

SAP Error Message - Details

• Message type: E = Error

• Message class: RY - Messages for RM Basis

• Message number: 325

• Message text: Covariance matrix is not positively definite

What causes this issue?

The covariance matrix is not positively definite. Consequently, no
Choleskyanalysis of the covariance matrix can be performed. The
calculated VaRs are only applied conditionally.

System Response

The system issues an error message and will not allow you to continue with this transaction until the error is resolved.

How to fix this error?

Align variances and covariances in such a way so that the covariance
matrix is positively definite. Alternatively,
use an external Monte Carlo calculator (user exit level 1) to split up
the covariance matrix with the single value analysis. (The algorithm for
the single value analysis of a matrix cannot be applied in the case of
non-positively defined matrices.)

Error message extract from SAP system. Copyright SAP SE.

Smart SAP Assistant

• What is the cause and solution for SAP error message RY325 - Covariance matrix is not positively definite ?

  The SAP error message RY325, which states "Covariance matrix is not positively definite," typically occurs in the context of statistical analysis or optimization problems within SAP systems, particularly in the SAP BW (Business Warehouse) or SAP Analytics Cloud environments. This error indicates that the covariance matrix used in a calculation (such as regression analysis or other statistical modeling) is not suitable for the intended mathematical operations.
  Cause:
  
  
  Data Issues: The data used to compute the covariance matrix may have issues such as:
  
  Multicollinearity: High correlation between independent variables.
  Insufficient variability: Some variables may have little to no variation.
  Missing values: Incomplete data can lead to an invalid covariance matrix.
  
  
  
  Model Specification: The model being used may not be correctly specified, leading to an invalid covariance structure.
  
  
  Sample Size: A small sample size relative to the number of variables can lead to an unstable covariance matrix.
  
  
  Numerical Precision: In some cases, numerical precision issues can lead to a covariance matrix that is not positive definite.
  
  
  Solution:
  
  
  Check Data Quality:
  
  Ensure that the data used for analysis is clean, complete, and free from errors.
  Look for and address multicollinearity by removing or combining highly correlated variables.
  
  
  
  Increase Sample Size: If possible, increase the sample size to provide more information for the covariance matrix estimation.
  
  
  Variable Selection: Consider reducing the number of variables in the model. Use techniques like Principal Component Analysis (PCA) to reduce dimensionality.
  
  
  Regularization: In some cases, applying regularization techniques (like Ridge regression) can help stabilize the covariance matrix.
  
  
  Check for Missing Values: Handle missing values appropriately, either by imputation or by removing affected records.
  
  
  Model Re-specification: Review the model to ensure it is correctly specified and that the assumptions of the statistical methods being used are met.
  
  
  Use Alternative Methods: If the covariance matrix cannot be made positive definite, consider using alternative statistical methods that do not rely on the covariance matrix being positive definite.
  
  
  Related Information:
  
  Positive Definite Matrix: A matrix is positive definite if all its eigenvalues are positive. This property is crucial for many statistical methods, as it ensures that the optimization problems have unique solutions.
  Statistical Software: If you are using statistical software or tools within SAP, consult the documentation for specific functions or procedures that may help in diagnosing and resolving the issue.
  Consult SAP Notes: Check SAP's support portal for any relevant notes or updates regarding this error message, as there may be specific patches or updates that address known issues.
  
  By following these steps, you should be able to diagnose and resolve the RY325 error in your SAP environment.