pdFactor: Square-Root Factor of a Positive-Definite Matrix
Description
A square-root factor of the positive-definite matrix represented by
object is obtained. 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 $L$.
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).
...
some methods for the generic function may require additional
arguments.
Value
a vector with a square-root factor of the positive-definite matrix
associated with object stacked column-wise.