Generate multiple sequences of correlated random variables

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 matrix with the element equal to the correlation coefficient between the … Read more

Cholesky decomposition: Python & Matlab

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 symmetric positive definite matrix can be factored as where is lower triangular matrix. The lower triangular matrix is often called “Cholesky Factor of ”. The matrix can be interpreted as square root … Read more

Check Positive Definite Matrix in Matlab

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