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Topic: covariance matrix, correlation matrix, decomposition
Replies: 4   Last Post: Nov 24, 1999 5:37 AM

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Emilio Lopes

Posts: 31
Registered: 12/11/04
Re: covariance matrix, correlation matrix, decomposition
Posted: Nov 24, 1999 5:37 AM
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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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