chol_tridiag_upper: Upper Cholesky decomposition of a tridiagonal matrix.

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

Description

Creates the upper Cholesky decomposition of a tridiagonal matrix. The decomposition will be a sparse upper triangular matrix with non-zero elements only on the main diagonal and the diagonal above it.

Usage

chol_tridiag_upper(Q)

Arguments

Q	A square tridiagonal matrix.

Value

A sparse square matrix with the same size as the input matrix.

Examples

library(Matrix)
times <- c(1, 4:5, 7)
rho <- 0.5
sigma <- 1
Q <- ar1_prec(times, rho, sigma)
chol_tridiag_upper(Q)

BenjaK/irregulAR1 documentation built on May 30, 2019, 3:51 p.m.