Reverses a quadratic positive definite matrix.
my.positive.definite.solve(A, eps = 1e-15)quadratic positive definite matrix
level of the lowest eigenvalue to consider
The return is the inverse matrix of A.
The program makes an eigenvalue decomposition of the positive definite matrix A and searches all eigenvalues greater than eps. The value of return is the inverse matrix of A, constructed with the matrix product of the corresponding eigenvalues and eigenvectors.
Flexible Copula Density Estimation with Penalized Hierarchical B-Splines, Kauermann G., Schellhase C. and Ruppert, D. (2013), Scandinavian Journal of Statistics 40(4), 685-705.