On 2010-05-23 0:56, john smith wrote:
Hi,
I am trying to implement Higham's algorithm for correcting a non positive
definite covariance matrix.
I found this code in R:
http://projects.cs.kent.ac.uk/projects/cxxr/trac/browser/trunk/src/library/Recommended/Matrix/R/nearPD.R?rev=637
I managed to understand most of it, the only line I really don't understand
is this one:
X<- tcrossprod(Q * rep(d[p], each=nrow(Q)), Q)
This line is supposed to calculate the matrix product Q*D*Q^T, Q is an n by
m matrix and R is a diagonal n by n matrix. What does this mean?
I also don't understand the meaning of a cross product between matrices, I
only know it between vectors.
You could have a look at the help page for crossprod which
gives the definitions of crossprod and tcrossprod.
Perhaps this will help:
Q <- matrix(1:12, ncol=3)
v <- rep(1:3, each=nrow(Q)
Q
v
Q * v
(Q * v) %*% t(Q)
tcrossprod(Q * v, Q)
-Peter Ehlers
Thanks,
Barisdad.
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