Signal Processing for Communication Systems
In the previous post, a method for generating two sequences of correlated random variables was discussed. Generation of multiple sequences of correlated random variables, given a correlation matrix is discussed here. Correlation Matrix Correlation matrix defines correlation among N variables. It is a symmetric $latex N \times N $ matrix with the $latex (ij)^{th} $ … Read more
Cholesky decomposition is an efficient method for inversion of symmetric positive-definite matrices. Let’s demonstrate the method in Python and Matlab. Cholesky factor Any $n \times n$ symmetric positive definite matrix $A $ can be factored as $$A=LL^T $$ where $L$ is $n \times n$ lower triangular matrix. The lower triangular matrix $L$ is often called … Read more
It is often required to check if a given matrix is positive definite or not. Three methods to check the positive definiteness of a matrix were discussed in a previous article . I will utilize the test method 2 to implement a small matlab code to check if a matrix is positive definite.The test method … Read more