dcovchol_drho: Derivative of the inverse upper Cholesky triangle of the...
In BenjaK/irregulAR1: Functions for Irregularly Sampled AR(1) Processes
Description
Usage
Arguments
Value
Examples
Description
Derivative of the inverse upper Cholesky triangle of the precision matrix of
of an AR(1) process with respect to the parameter rho.
Usage
1
dcovchol_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 matrix of the same dimensions as U.
Examples
1
2
3
4
5
6
t <- c(1, 3:4, 6, 8)
r <- 0.5
s <- 1
U <- ar1_prec_chol(t, r, s)
dQ <- dprec_drho(t, r, s)
(dU <- dcovchol_drho(U, dQ))
BenjaK/irregulAR1 documentation built on May 30, 2019, 3:51 p.m.
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Description Usage Arguments Value Examples
Description
Derivative of the inverse upper Cholesky triangle of the precision matrix of
of an AR(1) process with respect to the parameter rho.
Usage
1 | dcovchol_drho(U, dQ)
|
Arguments
U |
The upper Cholesky triangle of the precision matrix |
dQ |
The derivative of the precision matrix |
Value
A matrix of the same dimensions as U.
Examples
1 2 3 4 5 6 | t <- c(1, 3:4, 6, 8)
r <- 0.5
s <- 1
U <- ar1_prec_chol(t, r, s)
dQ <- dprec_drho(t, r, s)
(dU <- dcovchol_drho(U, dQ))
|
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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