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Re: covariance matrix, correlation matrix, decomposition
Posted:
Nov 24, 1999 5:37 AM


Michael Pronath wrote:
> Why do you think that Cholesky is the best? It is commonly used for > that task, and I wanted to know the reason.
The algorithm for the Cholesky decomposition is very simple, fast and stable (no need for pivoting for PD matrices).
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