invertinfo
From tscount v1.3.0
by Tobias Liboschik
Compute a Covariance Matrix from a Fisher Information Matrix
Stable function for computing a covariance matrix from a given Fisher information matrix by inversion.
Usage
invertinfo(mat, silent=TRUE, stopOnError=FALSE)
Arguments
 mat
 a Fisher Information Matrix.
 silent

logical value. If
FALSE
, errors in the computation of the inverse while using the Cholesky decomposition algorithm are printed. IfTRUE
, errors can be seen only in the valueerror_message
.  stopOnError

logical value. If
TRUE
only an error message is printed in case of error.
Details
A Cholesky decomposition is used to obtain the covariance matrix. This can be done because the Fisher information matrix is symmetric and positive definite.
This function is meant to be a more stable alternative to the function solve
, which does not take into account, that the matrix is symmetric and positive definite.
Value

A list containing the following components:
 vcov
 the covariance matrix.
 error_message
 possible error messages that occured when inverting the Fisher information matrix.
See Also
Examples
library(Matrix)
invertinfo(Hilbert(5), stopOnError=TRUE)
invertinfo(Hilbert(100))
invertinfo(Hilbert(100), silent=FALSE)
## Not run: invertinfo(Hilbert(100), stopOnError=TRUE)
Community examples
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