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ST9 - 12 - Square root of positive definite matrice

Y

yanyan

Member
Hi,

Referring to ST9 - 12 - Page 31 - the example of Cholesky decomposition,

how the square root of the correlation matrix be derived? matrix of (1, 0, rho, sqrt(1-rho^2)

maybe it is a matrix algebra question, i cudn't recall how it cud be calculated.

Any notes/info is helpful thanks!

Yan Yan
 
Hi. If you create a 2x2 lower triangular matrix C with dummy variables and then equate the product CC' to the correlation matrix, you should be able to get the result with a bit of algebra. A hint is attached for you...!
 

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