vec2cov function

Transform a vector into a matrix

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

vec2cov(par)

Arguments

• par: A vector representing a variance matrix

Returns

sigma 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.