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[Help-gsl] Covariance Matrix and Cholesky factorization
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From: |
JongKwan Kim |
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Subject: |
[Help-gsl] Covariance Matrix and Cholesky factorization |
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Date: |
Tue, 11 May 2010 10:37:19 -0600 |
Hello everyone,
I am working on gsl, but I have a quick question.
I have to calculate the covariance matrix and cholesky factorization for a
matrix.
I have a matrix like below...
a = [ 0.5 0.4 0.7;
0.9 0.3 0.3;
0.1 0.7 0.6]
So, do you know how to calculate the covariance matrix and cholesky
factorization?
I mean... GNU has a library for those?
If you have any idea to solve this, please let me know....
Thanks,
- [Help-gsl] Covariance Matrix and Cholesky factorization,
JongKwan Kim <=