Inverse of a symmetric positive definite matrix {Rfast}

Inverse of a symmetric positive definite matrix

Description

Inverse of a symmetric positive definite matrix.

Usage

spdinv(A)

Arguments

A

A square positive definite matrix.

Details

After calculating the Cholesky decomposition of the matrix we use this upper triangular matrix to invert the original matrix.

Value

The inverse of the input matrix.

Author(s)

Michail Tsagris

R implementation and documentation: Michail Tsagris <[e-mail]> and Manos Papadakis <[e-mail]>.

References

http://econ.nsysu.edu.tw/ezfiles/124/1124/img/Chapter17_MaximumLikelihoodEstimation.pdf

See Also

cholesky, cova

Examples

s <- cova( as.matrix(iris[, 1:4]) )
res<-spdinv(s)
res<-solve(s)