Michael Gormley wrote:
> Thanks for your help, all those who submitted responses. I do not need a
> specific matrix A, any solution will do. With this said, is it possible to
> specify the dimensions of the A matrix in the decompostion? For example, if
> A is a 2X1 matrix then A'A=B would be a 2X2 as well.
>
B would have rank 1 then, and a pivoted Choleski decomposition has zero
rows e.g.
> B <- outer(c(2,3),c(2,3))
> B
[,1] [,2]
[1,] 4 6
[2,] 6 9
> chol(B, pivot=TRUE)
[,1] [,2]
[1,] 3 2
[2,] 0 0
attr(,"pivot")
[1] 2 1
attr(,"rank")
[1] 1
Warning message:
In chol.default(B, pivot = TRUE) : matrix not positive definite
an eigen() decomposition could also be used.
--
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