makeLD

function [L, D] = makeLD(Sigma)

makeLD Decompose a covariance matrix into the matrices L and D.

[L, D] = makeLD(Sigma) returns the inverse L of the lower Cholesky factor of Sigma and the diagonal matrix D holding the inverse of the diagonal of L, so that D * L has a unit diagonal.

Arguments
  • Sigma (matrix): Positive definite covariance matrix.
Returns
  • L (matrix): Inverse of the lower Cholesky factor of Sigma.
  • D (matrix): Diagonal matrix with entries 1 ./ diag(L).
Notes
  • This function is intended for internal use only.
See also makeB, makeOmega