R: Inverse of a symmetric positive definite matrix

Inverse of a symmetric positive definite matrix {Rfast} | R Documentation

## Inverse of a symmetric positive definite matrix

### Description

Inverse of a symmetric positive definite matrix.

### Usage

    spdinv(A)

### Arguments

`A` | A square positive definite matrix.

### Details

After calculating the Cholesky decomposition of the matrix we use this upper triangular matrix to invert the original matrix.

### Value

The inverse of the input matrix.

### Author(s)

Michail Tsagris

R implementation and documentation: Michail Tsagris <mtsagris@yahoo.gr> and Manos Papadakis <papadakm95@gmail.com>.

### References

http://econ.nsysu.edu.tw/ezfiles/124/1124/img/Chapter17_MaximumLikelihoodEstimation.pdf

### See Also

`cholesky, cova`

### Examples

    s <- cova( as.matrix(iris[, 1:4]) )
    res<-spdinv(s)
    res<-solve(s)

[Package Rfast version 2.0.0 Index]