This function is similar to base::chol, but it returns the lower root and possibly remove unnecessary columns.
Usage
cholRoot(x)
Arguments
x
A positive semidefinite matrix.
Value
A numeric matrix, not necessarily a square matrix.
Details
This function calls base::chol with pivoting and returns the lower root. In the case of less than full rank x, unnecessary columns are removed. tcrossprod(cholRoot(x)) will reproduce x (up to numerical errors).