There is a subtle difference for the order of contructing and inverse a matrix.
- If contruct a covariance first, then inverse it, the results is showed below
mi
[,1] [,2] [,3] [,4]
[1,] 0 0.0 -3.999999999999993 3.499999999999994
[2,] 0 0.0 2.999999999999995 -2.499999999999996
[3,] -2 1.5 0.000000000000000 0.000000000000000
[4,] 1 -0.5 0.000000000000000 0.000000000000000
- But if inverst each block matrix first then contruct a bigger inverse covariance, the results is showed below
m
[,1] [,2] [,3] [,4]
[1,] 0.000000000000000 0.000000000000000 -2 1.5
[2,] 0.000000000000000 0.000000000000000 1 -0.5
[3,] -3.999999999999993 3.499999999999994 0 0.0
[4,] 2.999999999999995 -2.499999999999996 0 0.0
ai
[,1] [,2]
[1,] -2 1.5
[2,] 1 -0.5
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