decompose_varcov: Decomposition of the var-covar matrix.

In variani/wls: Weighted Least Squares (GLS)

Description

Decomposition of the var-covar matrix.

Usage

decompose_varcov(varcov, method = c("evd", "chol_evd", "chol"),
  tol = decompose_tol(), output = c("transform", "all", "evd"))

Arguments

varcov	Variance-covariance (relative) matrix of residuals.
method	One of the following methods for decomposition: "evd", "chol_evd" or "chol".
tol	Tolerance for decompose_varcov_evd. The default value is output of decompose_evd_tol function.
output	Type of output. The transformtion matrix is returned if "transform". More results of decomposition are returned if "all".

Value

Transformation matrix (in its trasnposed form) needed to pass from WLS to OLS.

variani/wls documentation built on May 3, 2019, 4:34 p.m.