it would be a bit more helpful if we knew more info regarding these
matrices, for instance is P diagonal, etc. In any case, you could have a
look at
crossprod()
# and
tcorssprod()
and, for the determinant maybe
prod(eigen(mat, symmetric = TRUE, only.values = FALSE)$values)
# or
prod(diag(chol(mat)))^2
are a bit faster than det(), but I haven't tested it.
I hope it helps.
Best,
Dimitris
Shimrit Abraham wrote:
Hi,
I am looking for two ways to speed up my computations:
1. Is there a function that efficiently computes the 'sandwich product' of
three matrices, say, ZPZ'
2. Is there a function that efficiently computes the determinant of a
positive definite symmetric matrix?
Thanks,
S.A.
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Dimitris Rizopoulos
Assistant Professor
Department of Biostatistics
Erasmus Medical Center
Address: PO Box 2040, 3000 CA Rotterdam, the Netherlands
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