chol_decomp: Cholesky Decomposition
In nielsaka/zeitreihe: Simulate, Estimate, Select, and Forecast Multiple Time Series Processes
Description
Usage
Arguments
Value
View source: R/VAR-2-estimation.R
Description
Cholesky decomposition of a positive-definite matrix using the
Cholesky-Banachiewicz algorithm.
Usage
1
chol_decomp(A)
Arguments
A
A matrix, must be positive definite. If not, an error will be
thrown.
Value
A matrix, the 'square root' of matrix A, as in A = LL'. TODO IS IT L or L'?
nielsaka/zeitreihe documentation built on March 17, 2020, 8:38 p.m.
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Description Usage Arguments Value
View source: R/VAR-2-estimation.R
Description
Cholesky decomposition of a positive-definite matrix using the Cholesky-Banachiewicz algorithm.
Usage
1 | chol_decomp(A)
|
Arguments
A |
A matrix, must be positive definite. If not, an error will be thrown. |
Value
A matrix, the 'square root' of matrix A, as in A = LL'. TODO IS IT L or L'?
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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