swp | R Documentation |
Sweeps a covariance matrix with respect to a subset of indices.
swp(V, b)
V |
a symmetric positive definite matrix, the covariance matrix. |
b |
a subset of indices of the columns of |
The sweep operator has been introduced by Beaton (1964) as a tool for inverting symmetric matrices (see Dempster, 1969).
a square matrix U
of the same order as V
. If a
is
the complement of b
, then U[a,b]
is the matrix of
regression coefficients of a
given b
and U[a,a]
is the corresponding covariance matrix of the residuals.
If b
is empty the function returns V
.
If b
is the vector 1:nrow(V)
(or its permutation) then
the function returns the opposite of the inverse of V
.
Giovanni M. Marchetti
Beaton, A.E. (1964). The use of special matrix operators in statistical calculus. Ed.D. thesis, Harvard University. Reprinted as Educational Testing Service Research Bulletin 64-51. Princeton.
Dempster, A.P. (1969). Elements of continuous multivariate analysis. Reading: Addison-Wesley.
fitDag
## A very simple example
V <- matrix(c(10, 1, 1, 2), 2, 2)
swp(V, 2)
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