2010•Journal of applied mathematics & informaticsRequires access

INFLUENCE ANALYSIS OF CHOLESKY DECOMPOSITION

Myung Geun Kim

Abstract

The derivative influence measure is adapted to the Cholesky decomposition of a covariance matrix. Formulas for the derivative influence of observations on the Cholesky root and the inverse Cholesky root of a sample covariance matrix are derived. It is easy to implement this influence diagnostic method for practical use. A numerical example is given for illustration.

About this research paper

What this paper is about

Why it matters

A significance statement is not available in the OpenAlex record.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

Key concepts: Cholesky decomposition, Minimum degree algorithm, Incomplete Cholesky factorization, Mathematics, Covariance matrix, Positive-definite matrix, Applied mathematics, Matrix (chemical analysis)