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…

# Tag: positive definite

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…

In order to perform Cholesky Decomposition of a matrix, the matrix has to be a positive definite matrix. I have listed down a few simple methods to test the positive…

I thought of making a post on Cholesky Decomposition, which is a very essential technique in digital signal processing applications like generating correlated random variables, solving linear equations, channel estimation…

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