The Cholesky Decomposition of P – Pp′
Journal of the Royal Statistical Society: Series B (Statistical Methodology) · 1994 · Volume 56 · Issue 4
DOI: 10.1111/j.2517-6161.1994.tb02010.x
Abstract
In this paper we outline an alternative derivation of the square-root-free Cholesky decomposition ofP – pp′ based on square-root-free variants of a standard algorithm in statistical computing.
Keywords
givens's rotations, matrix analysis, statistical computing
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