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 $latex (ij)^{th}$ element equal … 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 $latex n \times n$ symmetric positive definite matrix $latex A $ can be factored as $latex A=LL^T &s=2$ where $latex L$ is $latex n \times n$ lower triangular matrix. The lower triangular … Read more
[ratings] 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 … Read more
