Reverses a quadratic positive definite matrix.
my.positive.definite.solve(A, eps = 1e-15)
quadratic positive definite matrix
level of the lowest eigenvalue to consider
The return is the inverse matrix of A.
The program makes an eigenvalue decomposition of the positive definite matrix A and searches all eigenvalues greater than eps. The value of return is the inverse matrix of A, constructed with the matrix product of the corresponding eigenvalues and eigenvectors.
Estimating Non-Simplified Vine Copulas Using Penalized Splines, Schellhase, C. and Spanhel, F. (2017), Statistics and Computing.