# Questions tagged [cholesky]

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### Is it possible to enter a variable into an SVAR with a lead?

Consider, for simplicity, a bivariate SVAR(p) model. Structure is imposed through Choleski, whereby $Y_{1,t}$ is ordered first, before $Y_{2,t}$. Now, when estimating the SVAR(p) model, let's say for ...
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### Geometric interpretation of Cholesky Decomposition

I understand that a square matrix, say $A$, can be thought of as a linear transformation within the same space. I could be as simple as basis change or some other transformation. In this way of ...
46 views

### How to show that $X = LY$ where $Y\sim N(0,I)$?

Let $X\sim MVN(0,\Sigma)$ denote a random vector having the multivariate normal distribution with mean $0$ and covariance matrix $\Sigma$. Suppose we want to sample from $X\sim MVN(0,\Sigma)$. ...
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### Difference between sparse cholesky and cholesky decomposition

I am confused as to the difference between the regular cholesky decomposition and the sparse cholesky decomposition (i.e. that which is performed by LAPACK's CHOLMOD...