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Results tagged with cholesky-decomposition
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user 67822
10
votes
How to use the Cholesky decomposition, or an alternative, for correlated data simulation
CV is not about code, but I was intrigued to see how this would look after all the good answers, and specifically @Mark L. Stone contribution. The actual answer to the question is provided on his post …
- 26.9k
3
votes
Cholesky versus eigendecomposition for drawing samples from a multivariate normal distribution
Here's the manual, or poor-man's, prove-it-to-myself demonstration:
> set.seed(0)
> # The correlation matrix
> corr_matrix = matrix(cbind(1, .80, .2, .80, 1, .7, .2, .7, 1), nrow=3)
> nvar = 3 # Thre …
- 26.9k