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]