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Results tagged with cholesky-decomposition
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user 11832
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Why does the resulting matrix from Cholesky decomposition of a covariance matrix when multip...
I have a covariance matrix, S, which I use Cholesky decomposition to find A. It is stated that AA'=S, however, I am not recovering S when I do AA'. The example code in R is as follows.
S <- matrix(c( …
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