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
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