Estimating a Cholesky decomposition (Q1059955)
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scientific article; zbMATH DE number 3905660
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating a Cholesky decomposition |
scientific article; zbMATH DE number 3905660 |
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Estimating a Cholesky decomposition (English)
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1985
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For a normal distribution the sample covariance matrix S provides an unbiased estimator of the population covariance matrix \(\Sigma\). We address the problem of finding an unbiased estimator of the lower triangular matrix \(\Psi\) defined by the Cholesky decomposition \(\Sigma =\Psi \Psi^ T\).
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normal distribution
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sample covariance matrix
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unbiased estimator
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population covariance matrix
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Cholesky decomposition
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