A Cholesky Decomposition of the Inverse of Covariance Matrix
Jong‐Tae Park, Chul Kang
Abstract
Jong‐Tae Park, Chul Kang
Abstract
A recursive procedure for finding the Cholesky root of the inverse of sample covariance matrix, leading to a direct solution for the inverse of a positive definite matrix, is developed using the likelihood equation for the maximum likelihood estimation of the Cholesky root under normality assumptions. An example of the Hilbert matrix is considered for an illustration of the procedure.
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A recursive procedure for finding the Cholesky root of the inverse of sample covariance matrix, leading to a direct solution for the inverse of a positive definite matrix, is developed using the likelihood equation for the maximum likelihood estimation of the Cholesky root under normality assumptions. An example of the Hilbert matrix is considered for an illustration of the procedure.
Key concepts: Cholesky decomposition, Minimum degree algorithm, Mathematics, Estimation of covariance matrices, Covariance matrix, Applied mathematics, Inverse, Matrix (chemical analysis)