Solve the cells with no innovation out of the ones that keep it
Source:R/model_precision.R
get_dsem_solve_mat.RdA series with an sd of zero has no innovation, so its rows of
\((I - B)(x - \mu) = \varepsilon\) read zero. Writing \(u\) for its cells
(unobs_idx) and \(o\) for the rest (obs_idx), those rows
give every one of those cells from the others,
$$x_u - \mu_u = -(I - B)_{uu}^{-1}(I - B)_{uo}(x_o - \mu_o),$$
and this returns the matrix in the middle.
Arguments
- IminusB
Sparse \(I - B\), from
get_dsem_matrices.- dsem_cells
Output of
get_dsem_cells.