my.positive.definite.solve {pencopulaCond}

my.positive.definite.solve

Description

Reverses a quadratic positive definite matrix.

Usage

my.positive.definite.solve(A, eps = 1e-15)

Arguments

A

quadratic positive definite matrix

eps

level of the lowest eigenvalue to consider

Details

The program makes an eigenvalue decomposition of the positive definite matrix A and searches all eigenvalues greater than eps. The value of return is the inverse matrix of A, constructed with the matrix product of the corresponding eigenvalues and eigenvectors.

Value

The return is the inverse matrix of A.

Author(s)

Christian Schellhase <[e-mail]>

References

Estimating Non-Simplified Vine Copulas Using Penalized Splines, Schellhase, C. and Spanhel, F. (2017), Statistics and Computing.