cov_to_chol {oeli} | R Documentation |
Cholesky root of covariance matrix
Description
These functions compute the Cholesky root elements of a covariance matrix and, conversely, build a covariance matrix from its Cholesky root elements.
Usage
cov_to_chol(cov, unique = TRUE)
chol_to_cov(chol)
unique_chol(chol)
Arguments
cov |
[ |
unique |
[ |
chol |
[ |
Value
For cov_to_chol
a numeric
vector
of Cholesky root
elements.
For chol_to_cov
a covariance matrix
.
See Also
Other matrix helpers:
check_correlation_matrix()
,
check_covariance_matrix()
,
check_transition_probability_matrix()
,
diff_cov()
,
insert_matrix_column()
,
matrix_diagonal_indices()
,
matrix_indices()
,
sample_correlation_matrix()
,
sample_covariance_matrix()
,
sample_transition_probability_matrix()
,
stationary_distribution()
Examples
cov <- sample_covariance_matrix(4)
chol <- cov_to_chol(cov)
all.equal(cov, chol_to_cov(chol))
[Package oeli version 0.6.0 Index]