corFactor.corStruct: Factor of a corStruct Object Matrix

View source: R/corStruct.R

corFactor.corStructR Documentation

Factor of a corStruct Object Matrix


This method function extracts a transpose inverse square-root factor, or a series of transpose inverse square-root factors, of the correlation matrix, or list of correlation matrices, represented by object. Letting \Sigma denote a correlation matrix, a square-root factor of \Sigma is any square matrix L such that \Sigma = L'L. This method extracts L^{-t}.


## S3 method for class 'corStruct'
corFactor(object, ...)



an object inheriting from class "corStruct" representing a correlation structure, which must have been initialized (using Initialize).


some methods for this generic require additional arguments. None are used in this method.


If the correlation structure does not include a grouping factor, the returned value will be a vector with a transpose inverse square-root factor of the correlation matrix associated with object stacked column-wise. If the correlation structure includes a grouping factor, the returned value will be a vector with transpose inverse square-root factors of the correlation matrices for each group, stacked by group and stacked column-wise within each group.


This method function is used intensively in optimization algorithms and its value is returned as a vector for efficiency reasons. The corMatrix method function can be used to obtain transpose inverse square-root factors in matrix form.


José Pinheiro and Douglas Bates

See Also

corFactor, corMatrix.corStruct, recalc.corStruct, Initialize.corStruct


cs1 <- corAR1(form = ~1 | Subject)
cs1 <- Initialize(cs1, data = Orthodont)

nlme documentation built on Nov. 27, 2023, 5:09 p.m.