pdFactor: Square-Root Factor of a Positive-Definite Matrix
Description
A square-root factor of the positive-definite matrix represented by
object 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 \(L\).
Usage
pdFactor(object)
Value
a vector with a square-root factor of the positive-definite matrix
associated with object stacked column-wise.
Arguments
object
an object inheriting from class pdMat, representing
a positive definite matrix, which must have been initialized
(i.e. length(coef(object)) > 0).