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cholesky
2012 Jun 08
2
Determinant and inverse using cholsky parameter
Dear R list members,
I have a vector of Cholesky parameterization of a matrix let say A. I would like to compute the determinant and inverse of the original matrix A from the vector of cholesky parameters , would you suggest an R function to do the task. I have tried hard but unable to find anything like that.
Please direct me any package or please share R code that can do the task.
Thanks and