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Results tagged with optimization
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user 204868
Use this tag for any use of optimization within statistics.
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Estimating correlation matrix using numeric likelihood maximization
As R is a correlation matrix, you can fix the diagonal terms of the Cholesky. Q will not be a correlation matrix but R will be.
$m = (n^2-n)/2$
$\mathbf{z} =(z_1, z_2, ..., z_m)=m \in \mathbb{R}^m $
$ …
