cov2vec {gmmsslm}

Transform a variance matrix into a vector

Description

Transform a variance matrix into a vector i.e., Sigma=R^T*R

Usage

cov2vec(sigma)

Arguments

sigma

A p\times p variance matrix

Details

The variance matrix is decomposed by computing the Choleski factorization of a real symmetric positive-definite square matrix. Then, storing the upper triangular factor of the Choleski decomposition into a vector.

Value

par A vector representing a variance matrix