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visits member for 3 years, 11 months
seen Nov 11 at 21:37

Mar
25
awarded  Tumbleweed
Mar
18
asked Constant such that Global Maximum is Particular Entry in Vector
Jan
30
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 $chol(\Sigma)$
Jan
28
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.
Sep
12
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.
Sep
12
comment Finding $X$ When $Y=XX'$
@MichaelHardy Thanks.
Sep
11
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.
Sep
11
asked Finding $X$ When $Y=XX'$
May
29
awarded  Supporter
Dec
27
awarded  Teacher
Feb
17
answered Conformability and Matrix Derivatives
Feb
17
awarded  Editor
Feb
17
revised Conformability and Matrix Derivatives
added 1 characters in body
Feb
17
awarded  Student
Feb
17
asked Conformability and Matrix Derivatives