[R] Find A, given B where B=A'A
Lucke, Joseph F
Joseph.F.Lucke at uth.tmc.edu
Wed Oct 31 22:19:22 CET 2007
chol(B) doesn't give the original A, which I believe is what Mike wants.
-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On Behalf Of Katharine Mullen
Sent: Wednesday, October 31, 2007 4:08 PM
To: Michael Gormley
Cc: r-help at stat.math.ethz.ch
Subject: Re: [R] Find A, given B where B=A'A
B is symmetric by definition; if it's also real positive-definite then A
is the upper triangular factor of the Choleski decomposition, and you
can use
> chol(B)
to get A.
On Wed, 31 Oct 2007, Michael Gormley wrote:
> Given a matrix B, where B=A'A, how can I find A?
> In other words, if I have a matrix B which I know is another matrix A
> times its transpose, can I find matrix A?
>
> Thanks,
> Mike
>
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