Dear,
I need to calculate the following equation
tr(Sigma^-1 %*% D.Sigma)
I know only Sigma (positive definite) and D.Sigma (derivative of Sigma), a
naive code is
sum(diag(solve(Sigma,D.Sigma)))
but these matrices are dense and big dimension (10000 x 10000), and I need
to evaluate this equation many times.
What is the better way to evaluate this equation in R ?
Note that I need only the diagonal, I think is possible to calculate only
the diagnonal, but how ??
--
Wagner Hugo Bonat
LEG - Laboratório de Estatística e Geoinformação
UFPR - Universidade Federal do Paraná
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