sigex.renderpd: Modifies a covariance matrix so that it is pd
In tuckermcelroy/sigex: Ecce Signum: Multivariate Signal Extraction
View source: R/sigex.renderpd.r
sigex.renderpd R Documentation
Modifies a covariance matrix so that it is pd
Description
Modifies a covariance matrix so that it is pd
Usage
sigex.renderpd(L.mat, D.mat, thresh)
Arguments
L.mat
Rectangular, lower Cholesky factor
D.mat
Vector of diagonal entries in Cholesky decomposition
thresh
A threshold for condition numbers. The new
covariance matrix has a modified D matrix, such
that the condition numbers (with the same L.mat)
are bounded below by thresh.
Value
conds.new: new condition numbers
tuckermcelroy/sigex documentation built on Nov. 14, 2024, 3:28 p.m.
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View source: R/sigex.renderpd.r
| sigex.renderpd | R Documentation |
Modifies a covariance matrix so that it is pd
Description
Modifies a covariance matrix so that it is pd
Usage
sigex.renderpd(L.mat, D.mat, thresh)
Arguments
L.mat |
Rectangular, lower Cholesky factor |
D.mat |
Vector of diagonal entries in Cholesky decomposition |
thresh |
A threshold for condition numbers. The new covariance matrix has a modified D matrix, such that the condition numbers (with the same L.mat) are bounded below by thresh. |
Value
conds.new: new condition numbers
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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