XploRe Help : chol

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	multi
See also:	chold

Quantlet:		chol
Description:		computes the Cholesky decomposition of a symmetric, positive definite matrix

Usage:	`y = chol(x)`
Input:
	`x`	n x n matrix
Output:
	`y`	n x n matrix, containing the Cholesky decomposition of x

Example:

library("multi") y=chol(eye(2)*2) y

Result:

Contents of y
[1,] 1.4142        0
[2,]      0   1.4142

Author: C. Hafner, S. Sperlich, W. Haerdle, 19971027 license MD*Tech