Covariance

Covariance matrix estimation and manipulation. More...

Classes
class	vsmc::Covariance< RealType >
	Covariance. More...

Functions
template<typename RealType >
int	vsmc::cov_chol (std::size_t dim, const RealType *cov, RealType *chol, MatrixLayout layout=RowMajor, bool upper=false, bool packed=false)
	Compute Cholesky decomposition of the covariance matrix. More...

Detailed Description

Covariance matrix estimation and manipulation.

Function Documentation

template<typename RealType >

int vsmc::cov_chol ( std::size_t  dim, const RealType *  cov, RealType *  chol, MatrixLayout  layout = RowMajor, bool  upper = false, bool  packed = false  )

inline

Compute Cholesky decomposition of the covariance matrix.

Parameters

dim	The number of rows of the covariance matrix
cov	The covariance matrix
chol	The output lower triangular elements of the Cholesky decomposition, packed row by row. This can be directly used as the input parameter of the NormalMVDistribution constructors.
layout	The storage layout of the covariance matrix
upper	If true, the upper triangular of the covariance matrix shall be used. Otherwise the lower triangular shall be used.
packed	If the upper or lower triangular of covariance matrix is packed, row by row if layout == RowMajor, or column by column if layout == ColMajor.

Returns

• 0 If successful
• Positive value i if the ith minor of the covariance matrix is not psotive-definite.

Definition at line 129 of file covariance.hpp.