Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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A Cholesky Decomposition of the Inverse of Covariance Matrix

  • Park, Jong-Tae (Department of Information Statistics, Pyongtaek University) ;
  • Kang, Chul (Department of Computational Mathematics and Informatics, Hankyong National University)
  • Published : 2003.11.30
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Abstract

A recursive procedure for finding the Cholesky root of the inverse of sample covariance matrix, leading to a direct solution for the inverse of a positive definite matrix, is developed using the likelihood equation for the maximum likelihood estimation of the Cholesky root under normality assumptions. An example of the Hilbert matrix is considered for an illustration of the procedure.

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