Ralf Engelhorn wrote:
Dear R helpers,
is there a function or way within R to solve A'A=S for A, where all
matrices have p x p order and S is a variance-covariance matrix?
Thank you,
Ralf Engelhorn
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See ?chol. Here's an example:
R> S = diag(4)
R> S[row(S) < col(S)] =
+ S[row(S) > col(S)] = 0.5
R> S
[,1] [,2] [,3] [,4]
[1,] 1.0 0.5 0.5 0.5
[2,] 0.5 1.0 0.5 0.5
[3,] 0.5 0.5 1.0 0.5
[4,] 0.5 0.5 0.5 1.0
R> A = chol(S)
R> t(A) %*% A
[,1] [,2] [,3] [,4]
[1,] 1.0 0.5 0.5 0.5
[2,] 0.5 1.0 0.5 0.5
[3,] 0.5 0.5 1.0 0.5
[4,] 0.5 0.5 0.5 1.0
R>
Sundar
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