gclm.lowertri {gclm}

Recover lower triangular GCLM

Description

Recover the only lower triangular stable matrix B such that Sigma (\Sigma) is the solution of the associated continuous Lyapunov equation:

B\Sigma + \Sigma B' + C = 0

Usage

gclm.lowertri(Sigma, P = solve(Sigma), C = diag(nrow = nrow(Sigma)))

Arguments

Sigma

covariance matrix

P

the inverse of the covariance matrix

C

symmetric positive definite matrix

Value

A stable lower triangular matrix