View source: R/matrixparametrizations.R
UpperTriFactor | R Documentation |
This function is an analog to the Cholesky decomposition.
UpperTriFactor(Sigma)
Sigma |
A symmetric positive definite k x k matrix that can be
passed as argument to |
an upper triangular matrix Sigma_x, such that Sigma = Sigma_x %*% t(Sigma_x)
chol
;
the option PCMBase.Transpose.Sigma_x
in PCMOptions
.
# S is a symmetric positive definite matrix
M<-matrix(rexp(9),3,3); S <- M %*% t(M)
# This should return a zero matrix:
UpperTriFactor(S) %*% t(UpperTriFactor(S)) - S
# This should return a zero matrix too:
t(chol(S)) %*% chol(S) - S
# Unless S is diagonal, in the general case, this will return a
# non-zero matrix:
chol(S) %*% t(chol(S)) - S
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