uchol: Get the upper factor of the upper Cholesky decomposition of a...
In gmat: Simulation of Graphical Correlation Matrices

Description Usage Arguments Details Value References

View source: R/utils.R

Get the upper factor of the upper Cholesky decomposition of a symmetric positive definite matrix.

uchol(m)

`m`	Matrix to factorize.

The upper factor U such that m = U %*% t(U). U is equal to the transpose with respect to the anti-diagonal of the standard Cholesky factor L in m_rev = L %*% t(L), where m_rev is the matrix resulting from reverting the order of rows and columns in m (see Córdoba et al., 2019, Section 2.2 for more details). The function uses the base chol method.

A p*p upper triangular matrix.

Córdoba I., Varando G., Bielza C., Larrañaga P., Generating random Gaussian graphical models, arXiv:1909.01062, 2019.

gmat documentation built on Aug. 30, 2020, 9:07 a.m.