Are there any examples of using the package PDMats? For example, how can I find the inverse of a symmetric positive definite matrix?
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The best place to start is the package README, then the sources (which show that methods are defined for Base.inv), so you can just
using PDMats
A = randn(4,4)
B = PDMat(A*A')
inv(B)
That said, are you sure you need an inverse? If you are solving a linear system, you can do it directly with \.
Thank you. I do need to calculate variance-covariance matrices.
This package is awesome. Thank you for posting a question about it so that I could learn it exists!
You are welcome!