Factor of a corStruct Object Matrix

Description

This method function extracts a transpose inverse square-root factor, or a series of transpose inverse square-root factors, of the correlation matrix, or list of correlation matrices, represented by object. Letting S denote a correlation matrix, a square-root factor of S is any square matrix L such that S = L'L. This method extracts L^(-t).

Usage

## S3 method for class 'corStruct'
corFactor(object, ...)

Arguments

Value

If the correlation structure does not include a grouping factor, the returned value will be a vector with a transpose inverse square-root factor of the correlation matrix associated with object stacked column-wise. If the correlation structure includes a grouping factor, the returned value will be a vector with transpose inverse square-root factors of the correlation matrices for each group, stacked by group and stacked column-wise within each group.

Note

This method function is used intensively in optimization algorithms and its value is returned as a vector for efficiency reasons. The corMatrix method function can be used to obtain transpose inverse square-root factors in matrix form.

Author(s)

Jose Pinheiro and Douglas Bates bates@stat.wisc.edu

See Also

corFactor, corMatrix.corStruct, recalc.corStruct, Initialize.corStruct

Examples

cs1 <- corAR1(form = ~1 | Subject)
cs1 <- Initialize(cs1, data = Orthodont)
corFactor(cs1)