gclm.lowertri {gclm} | R Documentation |
Recover the only lower triangular stable matrix B such that
Sigma
(Σ)
is the solution of the associated continuous Lyapunov equation:
BΣ + Σ B' + C = 0
gclm.lowertri(Sigma, P = solve(Sigma), C = diag(nrow = nrow(Sigma)))
Sigma |
covariance matrix |
P |
the inverse of the covariance matrix |
C |
symmetric positive definite matrix |
A stable lower triangular matrix