[R] GLS in R

Simon Wood simon at stats.gla.ac.uk
Thu Jul 10 16:58:00 CEST 2003

> do I choleski decompose 
> the inverse of the covariance matrix and weight the observations - 
> risking precision loss.
- I think you'd be better off choleski decomposing the cov matrix itself
wouldn't you? e.g. if V is the covariance matrix use chol() to get
and then form L^{-T}y and L^{-T}X using solve() (assuming model is
> Simon Wood simon at stats.gla.ac.uk        www.stats.gla.ac.uk/~simon/
>>  Department of Statistics, University of Glasgow, Glasgow, G12 8QQ
>>>   Direct telephone: (0)141 330 4530          Fax: (0)141 330 4814

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