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nlme (version 3.1-38)

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).

Value

  • a vector with a square-root factor of the positive-definite matrix associated with object stacked column-wise.

See Also

pdMatrix

Examples

Run this code
pd1 <- pdCompSymm(4 * diag(3) + 1)
pdFactor(pd1)

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