Get covariance matrix from precision matrix
The covariance matrix is the inverse of the precision matrix. By default, the function solve is used for inversion. If it fails (e.g., singular system), then MASS::ginv is used instead, and returns the Moore-Penrose generalised inverse of the precision matrix.
prec_to_cov(prec_mat)
prec_mat: Precision matrix (either of 'matrix' type or sparse matrix on which as.matrix can be used)Precision matrix
Related functions from the same R package