sparseinv

Creates a wrapper for the 'SuiteSparse' routines that execute the Takahashi equations. These equations compute the elements of the inverse of a sparse matrix at locations where the its Cholesky factor is structurally non-zero. The resulting matrix is known as a sparse inverse subset. Some helper functions are also implemented. Support for spam matrices is currently limited and will be implemented in the future. See Rue and Martino (2007) doi:10.1016/j.jspi.2006.07.016 and Zammit-Mangion and Rougier (2018) doi:10.1016/j.csda.2018.02.001 for the application of these equations to statistics.

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