cov2vec function

Transform a variance matrix into a vector

Transform a variance matrix into a vector i.e., Sigma=R^T*R

cov2vec(sigma)

Arguments

• sigma: A variance matrix

Returns

par A vector representing a variance matrix

Details

The variance matrix is decomposed by computing the Choleski factorization of a real symmetric positive-definite square matrix. Then, storing the upper triangular factor of the Choleski decomposition into a vector.