schur {rje}

Obtain generalized Schur complement

Description

Obtain generalized Schur complement

Usage

schur(M, x, y, z)

Arguments

M

symmetric positive definite matrix

x, y, z

indices of M to calculate with (see below)

Details

Calculates M_{xy} - M_{xz} M^{zz} M_{zy}, which (if M is a Gaussian covariance matrix) is the covariance between x and y after conditioning on z.

y defaults to equal x, and z to be the complement of x \cup y.