uchol: Get the upper factor of the upper Cholesky decomposition of a...

In irenecrsn/gmat: Simulation of Graphical Correlation Matrices

Get the upper factor of the upper Cholesky decomposition of a symmetric positive definite matrix.

Description

Get the upper factor of the upper Cholesky decomposition of a symmetric positive definite matrix.

Usage

uchol(m)

Arguments

m	Matrix to factorize.

Details

The upper factor U such that m = U %*% t(U). U is equal to the transpose with respect to the anti-diagonal of the standard Cholesky factor L in m_rev = L %*% t(L), where m_rev is the matrix resulting from reverting the order of rows and columns in m (see Córdoba et al., 2019, Section 2.2 for more details). The function uses the base chol method.

Value

A p*p upper triangular matrix.

References

Córdoba I., Varando G., Bielza C., Larrañaga P., Generating random Gaussian graphical models, arXiv:1909.01062, 2019.

irenecrsn/gmat documentation built on May 9, 2022, 1:11 a.m.