pdMatrix: Extract Matrix or Square-Root Factor from a pdMat Object
Description
The positive-definite matrix represented by object, or a
square-root factor of it is obtained. Letting $\Sigma$ denote a
positive-definite matrix, a square-root factor of $\Sigma$ is
any square matrix $L$ such that $\Sigma = L'L$. This function extracts $S$ or $L$.
Usage
pdMatrix(object, factor)
Arguments
object
an object inheriting from class pdMat, representing
a positive definite matrix.
factor
an optional logical value. If TRUE, a square-root
factor of the positive-definite matrix represented by object
is returned; else, if FALSE, the positive-definite matrix is
returned. Defaults to FALSE
Value
if fact is FALSE the positive-definite matrix
represented by object is returned; else a square-root of the
positive-definite matrix is returned.