invertinfo function

Compute a Covariance Matrix from a Fisher Information Matrix

Stable function for computing a covariance matrix from a given Fisher information matrix by inversion.

invertinfo(mat, silent=TRUE, stopOnError=FALSE)

Arguments

• mat: a Fisher Information Matrix.
• silent: logical value. If FALSE, errors in the computation of the inverse while using the Cholesky decomposition algorithm are printed. If TRUE, errors can be seen only in the value error_message.
• stopOnError: logical value. If TRUE only an error message is printed in case of error.

Details

A Cholesky decomposition is used to obtain the covariance matrix. This can be done because the Fisher information matrix is symmetric and positive definite.

This function is meant to be a more stable alternative to the function solve, which does not take into account, that the matrix is symmetric and positive definite.

Returns

A list containing the following components:

• vcov: the covariance matrix.

• error_message: possible error messages that occured when inverting the Fisher information matrix.

Author(s)

Tobias Liboschik and Philipp Probst

See Also

chol and chol2inv.

Examples

library(Matrix)
invertinfo(Hilbert(5), stopOnError=TRUE)
invertinfo(Hilbert(100))
invertinfo(Hilbert(100), silent=FALSE)
## Not run: invertinfo(Hilbert(100), stopOnError=TRUE)