dprecchol_drho: Derivative of the upper Cholesky triangle of the precision...

In irregulAR1: Functions for Irregularly Sampled AR(1) Processes

Description

Creates the derivate of the upper Cholesky triangle of the precision matrix of an AR(1) process with respect to the parameter rho.

Usage

dprecchol_drho(U, dQ)

Arguments

U	The upper Cholesky triangle of the precision matrix Q of the AR(1) process.
dQ	The derivative of the precision matrix Q with respect to the correlation parameter rho.

Value

A band 1 upper triangular matrix of the same dimensions as U.

Examples

library(Matrix)
t <- c(1, 3:4, 6, 8)
r <- 0.5
s <- 1
U <- ar1_prec_chol_irregular(t, r, s)
dQ <- dprec_drho(t, r, s)
(dU <- dprecchol_drho(U, dQ))

irregulAR1 documentation built on May 2, 2019, 8:49 a.m.