Displaying 1 result from an estimated 1 matches for "bf00140873".
2011 Nov 18
1
Ensuring a matrix to be positive definite, case involving three matrices
Hi,
I would like to know what should I garantee about P and GGt in order to have
F = Z %*% P %*% t(Z) + GGt always as a positive definite matrix.
Being more precise:
I am trying to find minimum likelihood parameters by using the function
'optim' to find the lowest value generated by $LogLik from the function
'fkf' (http://127.0.0.1:27262/library/FKF/html/fkf.html).
The