Cholesky Decomposition

The Cholesky Decomposition option is one of the Square Matrices options. It creates a new header containing a lower-left-triangular decomposition of the original matrix.

In more detail,

•the original matrix A must be square, symmetric, and positive definite. Actually, only the top-right half is used.

•the new matrix L is lower-left triangular. It has the property that

L.LT = A

if A is not positive definite, the procedure will fail with a message.

URL of this topic: www.copsmodels.com/webhelp/viewhar/hc_choldecomp.htm

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