Matrix (version 0.9-1)

pdFactor: Square-root factor

Description

This generic function extracts the square-root factor of the positive-definite matrix represented by object. Letting $\Sigma$ denote a positive-definite matrix, a square-root factor of $\Sigma$ is any square matrix $L$ such that $\Sigma = L'L$. This function extracts $L$.

This function is deprecated. Use coersion to the pdfactor class instead.

Usage

pdFactor(object)

Arguments

object

an object inheriting from class pdMat, representing a positive definite matrix, which must have been initialized (i.e. length(coef(object)) > 0).

Value

• A pdfactor object.

See Also

pdfactor-class