r***a
发帖数: 58 | 1 Since J is symmetric (it has to be), it can be decomposed to
J = B'DB Where D is a diagonal matix with eigenvalues \lambda
and B would be the vectors corresponding to the eigenvalues
A = B'sqrt(D)
There are a few methods for calculating \lambdas. Go get a book
on matrix calculation. | J**Y
发帖数: 34 | 2 In economics, solving M is usually done with Cholesky decomposition as
I said before, because the var-cov matrix of Z: V=MM', is a symmetric
positive definite matrix. So V can be written as the product of a lower
triangle matrix and its transpose. | i**x
发帖数: 326 | 3 i guess you are right. actually i was spending some time
on that, and seems to me -- also according to all the
literature i saw -- the Cholesky decomposition is the
usual way and other alternatives do not further help.
it is a very general question and if there is a better
solution, it will be helpful for many of us. but you
know, :) | r***a
发帖数: 58 | 4 Faint!
M = B* sqrt(D) ya! |
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