The Cholesky Decomposition of P - pp

The Cholesky Decomposition of P - pp

In this paper we outline an alternative derivation of the square-root-free Cholesky decomposition of P - pp' based on square-root-free variants of a standard algorithm in statistical computing.

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Veröffentlicht in:Journal of the Royal Statistical Society. Series B, Methodological Methodological, 1994, Vol.56 (4), p.727-727
1. Verfasser: Farebrother, Richard William
Format: Artikel
Sprache:eng
Schlagworte:
givens's rotations
Least squares
matrix analysis
statistical computing
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Zusammenfassung:In this paper we outline an alternative derivation of the square-root-free Cholesky decomposition of P - pp' based on square-root-free variants of a standard algorithm in statistical computing.
ISSN:0035-9246
1369-7412
2517-6161
1467-9868
DOI:10.1111/j.2517-6161.1994.tb02010.x