Cholesky decomposition of random matrix

Source: R/rvar-math.R

Cholesky decomposition of an rvar containing a matrix.

# S3 method for rvar
chol(x, ...)

Arguments

x

(rvar) A 2-dimensional rvar.

...

Additional parameters passed on to chol.tensor()

Value

An rvar containing the upper triangular factor of the Cholesky decomposition, i.e., the matrix \(R\) such that \(R'R = x\).