excursions (version 2.4.1)

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.

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 variances.

Details

The method for calculating the diagonal requires the Cholesky factor, L, of Q, which should be supplied if available. If Q is provided, the cholesky factor is calculated and the variances are then returned in the same ordering as Q. If L is provided, the variances are returned in the same ordering as L, even if L@invpivot exists.

Examples

# NOT RUN {
## 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))
# }