Solution found...

Sorry for not having known this,...

Apparently, what I was after is called a "Choleski factorization".


The solution pops right out of R, as follows:

> M<-matrix(c(0.6098601,  0.2557882,   0.1857773,
+             0.2557882,  0.5127065,  -0.1384238,
+             0.1857773, -0.1384238,   0.9351089 ),
+       nrow=3, ncol=3, byrow=TRUE)
> chol(M)
          [,1]      [,2]       [,3]
[1,] 0.7809354 0.3275408  0.2378907
[2,] 0.0000000 0.6367288 -0.3397722
[3,] 0.0000000 0.0000000  0.8735398
>



Thanks again for all your help!


/shawn

______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.

Reply via email to