[R] How to solve A'A=S for A
Spencer Graves
spencer.graves at pdf.com
Wed Feb 19 00:10:07 CET 2003
Of course. Thanks helping me understand something that should have been
obvious to me but wasn't.
Spencer Graves
Peter Dalgaard BSA wrote:
> Spencer Graves <spencer.graves at pdf.com> writes:
>
>
>>I think it's interesting that solve(chol(W)) is not the same as
>>chol(solve(W)), but I'll let someone else comment on that.
>
>
> That's basically because inv(R'R) = inv(R)inv(R') = inv(R)inv(R)'
> Notice that the last form is upper tri by lower tri, whereas the
> Choleski factorization is the other way around. Actually, this UU'
> factorization works just like the Choleski factorization taking the
> rows and columns of W in the reverse order so we have
>
>
>>solve(chol(W))
>
> [,1] [,2] [,3]
> [1,] 1 0.0 -2.0
> [2,] 0 0.5 -0.5
> [3,] 0 0.0 1.0
>
>
>>zapsmall(chol(solve(W)[3:1,3:1]))[3:1,3:1]
>
> [,1] [,2] [,3]
> [1,] 1 0.0 0
> [2,] 0 0.5 0
> [3,] -2 -0.5 1
>
> which are each others transposes.
>
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