John
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 Mar25 awarded Tumbleweed Jan30 comment Efficient Cholesky decomposition of inverse matrix I'm doing the same thing, but I have been getting funky results. You can take the cholesky decomposition of $\Sigma^{-1}$ and find the upper cholesky decomposition of that and then take the inverse. However, what I am left with is a triangular matrix that can reproduce $\Sigma$, but it isn't the same as $chol(\Sigma)$ Jan28 comment How to generate a random matrix whose eigenvalues are less than one I've been beating my head against the wall trying to do a similar thing. My application is ensuring Bayesian VAR results are stationary in a MCMC, which I think is a slightly different set up. Sep12 comment Finding $X$ When $Y=XX'$ @BaronVT I see your point now. What kinds of conditions would need to be made on the eigenvalues. In the particular ones I'm working with, it will often be the case that several will be equal to each other. Sep12 comment Finding $X$ When $Y=XX'$ @MichaelHardy Thanks. Sep11 comment Finding $X$ When $Y=XX'$ $Y$ is some known matrix. It could be an identity matrix, or it could be anything else so long as it is positive definite. Sep11 asked Finding $X$ When $Y=XX'$ May29 awarded Supporter Dec27 awarded Teacher Feb17 answered Conformability and Matrix Derivatives Feb17 awarded Editor Feb17 revised Conformability and Matrix Derivatives added 1 characters in body Feb17 awarded Student Feb17 asked Conformability and Matrix Derivatives