R/blkdiag.R

In sparseDFM: Estimate Dynamic Factor Models with Sparse Loadings

#' Creates a block diagonal matrix 
#' 
#' Taken from pracma package code 
#' 
#' @param ... Matrices to create a block diagonal matrix.
#' @noRd


blkdiag <-function(...) {
  dots <- list(...)
  if (! all(sapply(dots, is.matrix)) ||
      ! all(sapply(dots, is.numeric)) )
    stop("All input arguments in '...' must be numeric matrices")
  
  nrows <- sapply(dots, nrow)
  ncols <- sapply(dots, ncol)
  if (any(nrows == 0) || any(ncols == 0))
    stop("All input matrices '...' must be non-empty.")
  
  n <- sum(nrows)
  N <- c(0, cumsum(nrows))
  m <- sum(ncols)
  M <- c(0, cumsum(ncols))
  
  A <- matrix(0, nrow = n, ncol = m)
  
  k <- length(dots)
  for (i in 1:k) {
    A[(N[i]+1):N[i+1], (M[i]+1):M[i+1]] <- dots[[i]]
  }
  
  
  return(A)
}