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spdinv

Inverse of a symmetric positive definite matrix

Description

Inverse of a symmetric positive definite matrix.

Usage

spdinv(A)

Arguments

A

A square positive definite matrix.

Details

After calculating the Cholesky decomposition of the matrix we use this upper triangular matrix to invert the original matrix.

Value

The inverse of the input matrix.

Author(s)

Michail Tsagris

R implementation and documentation: Michail Tsagris <mtsagris@yahoo.gr> and Manos Papadakis <papadakm95@gmail.com>.

References

http://econ.nsysu.edu.tw/ezfiles/124/1124/img/Chapter17_MaximumLikelihoodEstimation.pdf

See Also

Examples

s <- cova( as.matrix(iris[, 1:4]) )
res<-spdinv(s)
res<-solve(s)
Rfast

A Collection of Efficient and Extremely Fast R Functions

v2.0.1
GPL (>= 2.0)
Authors
Manos Papadakis, Michail Tsagris, Marios Dimitriadis, Stefanos Fafalios, Ioannis Tsamardinos, Matteo Fasiolo, Giorgos Borboudakis, John Burkardt, Changliang Zou, Kleanthi Lakiotaki and Christina Chatzipantsiou.
Initial release
2020-09-13

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