https://github.com/cran/ltsa
Tip revision: d4bb25ff74f1d6a70bf1c395dd2775e1304672b0 authored by A.I. McLeod on 30 November 2010, 00:00:00 UTC
version 1.4
version 1.4
Tip revision: d4bb25f
trenchInv.c
// Computing the inverse of a positive-definite Toeplitz matrix
// using the Trench algorithm
#include "trenchR.h"
int trenchInv(double *r,int n,double **b,double *v,double EPS)
{
double sigsq;
int fault;
VECTOR fi;
fi = Vector(n-1);
fault = durlev (r,n,fi,v,&sigsq,EPS);
if (fault != 0)
{
return fault;
free_vector(fi);
}
v = Vector(n);
upperWedge(fi,sigsq,n,b);
free_vector(fi);
return 0;
}