This module contains the following utilities functions, to help manipulating matrix and modeling.

List of functions

CHOLESKY	Returns the lower cholesky factor of a symmetric, positive definite matrix
CORR.2.COV	Converts a correlation matrix to a covariance matrix
CORR.MAT	Returns the correlation matrix.
COV.2.CORR	Converts a covariance matrix to a correlation matrix
DIAG	Returns a square diagonal matrix with the elements of the argument on the main diagonal.
EIGEN.VALUES	Returns the eigenvalues of a symmetric matrix
EIGEN.VECTORS	Returns the eigenvectors of a symmetric matrix
EXTRACT.DIAG	Returns the main diagonal of a square matrix
IS.PSD	Check if the matrix is positive semi-definite
NEAREST.CORR	Find the nearest correlation matrix that is positive semi-definite.
NEAREST.COV	Find the nearest covariance matrix that is positive semi-definite, and leaves the variance unchanged.
ROUND.SMALL	Round small values (abs(value)<1e6) in a matrix to zero
SINGULAR.VALUES	Returns the singular values of a matrix (SVD)
TRACE	Returns the sum of the diagonal coefficients of a matrix
UNVEC	Form a matrix from a vector (inverse of the function VEC)
UNVECH	Form a symmetric matrix (d x d) from a vector of length d(d+1)/2 (inverse of the function VECH).
VARCOV.MAT	Returns the variance covariance matrix.
VEC	Takes a square matrix and stacks the columns into a single vector
VECH	Takes a symmetric d x d matrix and stacks the upper triangular half into a single vector of length d(d+1)/2.