How To Fix RY495 - Correlation matrix is not positive definite

SAP Error Message - Details

• Message type: E = Error

• Message class: RY - Messages for RM Basis

• Message number: 495

• Message text: Correlation matrix is not positive definite

What causes this issue?

The calculated correlation matrix is not positive semi-definite and must
be adjusted.

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?

You have <ZH>not </>set the <ZK>Adjust Matrix</> indicator in the
selection screen. Return to this screen and set the indicator. The
system then calculates the adjusted matrix.

Procedure for System Administrators

Error message extract from SAP system. Copyright SAP SE.

Smart SAP Assistant

• What is the cause and solution for SAP error message RY495 - Correlation matrix is not positive definite ?

  The SAP error message RY495, which states "Correlation matrix is not positive definite," typically occurs in the context of statistical analysis or modeling within SAP systems, particularly when using the SAP BusinessObjects or SAP BW (Business Warehouse) environments. This error indicates that the correlation matrix generated from your data is not valid for certain statistical computations, such as regression analysis or multivariate statistics.
  Cause:
  
  Data Issues: The most common cause of this error is that the data used to generate the correlation matrix contains multicollinearity, meaning that some variables are highly correlated with each other. This can lead to a situation where the matrix cannot be inverted, which is necessary for certain calculations.
  Insufficient Data: If the dataset is too small or if there are too many variables relative to the number of observations, the correlation matrix may not be well-defined.
  Zero Variance: If one or more variables have zero variance (i.e., they do not change), this can also lead to a non-positive definite matrix.
  Outliers: Extreme values or outliers in the data can distort the correlation matrix, leading to this error.
  
  Solution:
  
  Check for Multicollinearity: Analyze the correlation between your variables. If you find that some variables are highly correlated, consider removing or combining them.
  Increase Sample Size: If possible, increase the number of observations in your dataset to provide a more robust correlation matrix.
  Remove Zero Variance Variables: Identify and remove any variables that do not vary (i.e., have the same value for all observations).
  Data Transformation: Consider transforming your data (e.g., using logarithmic or square root transformations) to reduce the impact of outliers or to stabilize variance.
  Regularization Techniques: If you are performing regression analysis, consider using regularization techniques (like Ridge regression) that can handle multicollinearity.
  Check Data Quality: Ensure that your data is clean and free from errors, missing values, or inconsistencies.
  
  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 matrix can be inverted.
  Statistical Software: If you are using statistical software or tools within SAP, check the documentation for specific functions or methods that may help in diagnosing and resolving issues with correlation matrices.
  Consult SAP Notes: Check SAP's support portal for any specific notes or patches related to this error, as there may be updates or fixes available.
  
  By addressing the underlying issues that lead to the correlation matrix being non-positive definite, you should be able to resolve the RY495 error and proceed with your analysis.