getGCD: computes the generalized Cholesky decomposition
In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction
getGCD R Documentation
computes the generalized Cholesky decomposition
Description
computes the generalized Cholesky decomposition
Usage
getGCD(Sigma, Rank)
Arguments
Sigma
symmetric, non-negative definite matrix
Rank
presumed rank of Sigmma, less than or equal
to the dimension of the matrix
Value
list of length 2 giving L.mat and D.mat.
L.mat: rectangular, lower Cholesky factor
D.mat: vector of diagonal entries in Cholesky decomposition
jlivsey/sigex documentation built on March 20, 2024, 3:17 a.m.
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| getGCD | R Documentation |
computes the generalized Cholesky decomposition
Description
computes the generalized Cholesky decomposition
Usage
getGCD(Sigma, Rank)
Arguments
Sigma |
symmetric, non-negative definite matrix |
Rank |
presumed rank of Sigmma, less than or equal to the dimension of the matrix |
Value
list of length 2 giving L.mat and D.mat. L.mat: rectangular, lower Cholesky factor D.mat: vector of diagonal entries in Cholesky decomposition
R Package Documentation
Browse R Packages
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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