Extract Matrix or Square-Root Factor from a pdMat Object

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 \(\Sigma\) or \(L\).

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 factor is FALSE the positive-definite matrix represented by object is returned; else a square-root of the positive-definite matrix is returned.

References

Pinheiro, J.C., and Bates, D.M. (2000) "Mixed-Effects Models in S and S-PLUS", Springer, esp. p. 162.

Author

José Pinheiro and Douglas Bates bates@stat.wisc.edu

Examples

pd1 <- pdSymm(diag(1:4))
pdMatrix(pd1)
#>      [,1] [,2] [,3] [,4]
#> [1,]    1    0    0    0
#> [2,]    0    2    0    0
#> [3,]    0    0    3    0
#> [4,]    0    0    0    4