[SciPy-User] cholesky
alexander baker
baker.alexander at gmail.com
Fri Apr 23 05:15:35 EDT 2010
We have computed a decomposition matrix using the cholesky method for a
correlation matrix, some of the eigenvalues are negative and we set those to
zero, the question is how can we estimate the significance of removing these
eigenvalues from the original correlation matrix?
http://docs.scipy.org/doc/scipy-0.7.x/reference/generated/scipy.linalg.cholesky.html#scipy.linalg.cholesky
Regards
Alex Baker
Mobile: 07788 872118
Blog: www.alexfb.com
--
All science is either physics or stamp collecting.
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