excursions (version 2.0.6)

excursions.variances: Calculate variances from a sparse precision matrix

Description

excursions.variances calculates the diagonal of the inverse of a sparse symmetric positive definite matrix Q. The method for calculating the diagonal requires the Cholesky factor of Q, which should be supplied if available.

Usage

excursions.variances(L,Q,max.threads=0)

Arguments

L

Cholesky factor of precision matrix.

Q

Precision matrix.

max.threads

Decides the number of threads the program can use. Set to 0 for using the maximum number of threads allowed by the system (default).

Value

• A vector with the diagonal elements.

Examples

## Create a tridiagonal precision matrix
n = 21
Q = Matrix(toeplitz(c(1, -0.1, rep(0, n-2))))

v2 = excursions.variances(Q=Q,max.threads=2)

## var2 should be the same as:
v1 = diag(solve(Q))