excursions.variances {excursions} | R Documentation |
Calculate variances from a sparse precision matrix
Description
excursions.variances
calculates the diagonal of the inverse of a sparse
symmetric positive definite matrix Q
.
Usage
excursions.variances(L, Q, max.threads = 0)
Arguments
L |
Cholesky factor of precision matrix. |
Q |
Precision matrix. |
max.threads |
Decides the number of threads the program can use. Set to 0 for using the maximum number of threads allowed by the system (default). |
Details
The method for calculating the
diagonal requires the Cholesky factor, L
, of Q
, which should be supplied if
available. If Q
is provided, the cholesky factor is
calculated and the variances are then returned in the same ordering as Q
.
If L
is provided, the variances are returned in the same ordering as L
,
even if L@invpivot
exists.
Value
A vector with the variances.
Author(s)
David Bolin davidbolin@gmail.com
Examples
## Create a tridiagonal precision matrix
n <- 21
Q <- Matrix(toeplitz(c(1, -0.1, rep(0, n - 2))))
v2 <- excursions.variances(Q = Q, max.threads = 2)
## var2 should be the same as:
v1 <- diag(solve(Q))
[Package excursions version 2.5.8 Index]