Someone else suggested computing the determinant by the following expression
prod(diag(chol(mat)))^2

Of course, accessing the determinant directly from Fortran would be much
faster...

Please let me know if you find out more information on this.

Thanks,

Shimrit

On Tue, Feb 17, 2009 at 8:59 PM, <rkevinburton@charter.net> wrote:

> I know chol2inv will invert a positive definite symmetric matrix and the
> underlying fortran code will optionally compute the determinant but I have
> been unable to find an 'R' hook into just the determinant part.
>
> Kevin
>
> ---- "Brian G. Peterson" <brian@braverock.com> wrote:
> > Shimrit Abraham wrote:
> > > I am looking for two ways to speed up my computations:
> > >
> > > 1. Is there a function that efficiently computes the 'sandwich product'
> of
> > > three matrices, say, ZPZ'
> > > 2. Is there a function that efficiently computes the determinant of a
> > > positive definite symmetric matrix?
> > >
> >
> > Shimrit,
> >
> > You are likely to get a more complete answer on r-help than here.  This
> > list is for questions which are directly related to finance.  The
> > matrrix-math wizards hang out on r-help.
> >
> > Regards,
> >
> >     - Brian
> >
> > _______________________________________________
> > R-SIG-Finance@stat.math.ethz.ch mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only.
> > -- If you want to post, subscribe first.
>
>

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