Thanks for all who replied me to this topic. I have the "L" (cholesky decomposed matrix)as a vector listed as columwise as mentioned in the article http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.31.494 and looking for functions to convert the vector into inverse matrix ( but chol2inv mentioned by Kjetil, takes up matrix form) and the corresponding determinant value (square of the product of the diagonal element of the L).
I am going to use the function in an maximum likelihood optimization routine for estimating variables in a variance-covariance matrix. Thanks and regards, B.Nataraj -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of Özgür Asar Sent: Friday, June 08, 2012 7:38 PM To: r-help@r-project.org Subject: Re: [R] Determinant and inverse using cholsky parameter Hi, Isn't the Cholesky decomposition of A=L (L)^T where T stands for "transpose" and L is the Cholesky factor of A. You say you have the Cholesky decomposition, isn't it L (above)? A<-L%*%t(L) det(A) solve(A) would be your answer. Hope this helps Ozgur -- View this message in context: http://r.789695.n4.nabble.com/Determinant-and-inverse-using-cholsky-parameter-tp4632769p4632808.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
