[R] Determinant and inverse using cholsky parameter

[peter dalgaard]

On Jun 8, 2012, at 16:08 , Özgür Asar wrote:

> Hi,
> 
> Isn't the Cholesky decomposition of A=L (L)^T where T stands for "transpose"
> and L is the Cholesky factor of A.
> 
> You say you have the  Cholesky decomposition, isn't it L (above)?
> 
> A<-L%*%t(L)
> det(A) 
> solve(A)
> 
> would be your answer.

The standard trick is to work directly with L. This is triangular, so the determinant is the product of the diagonal, and the determinant of A is the square of that. 

Similarly, you can use backsolve to find the inverse of L and multiply it with its transpose for the inverse of A.


> 
> Hope this helps
> Ozgur
> 
> 
> 
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-- 
Peter Dalgaard, Professor
Center for Statistics, Copenhagen Business School
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