[Help-gsl] Re: Covariance Matrix and Cholesky factorization

[Rodney Sparapani]

On 05/11/10 11:37 AM, JongKwan Kim wrote:
> Hello everyone,
>
> I am working on gsl, but I have a quick question.
> I have to calculate the covariance matrix and cholesky factorization for a
> matrix.
> I have a matrix like below...
>
> a = [ 0.5   0.4   0.7;
>           0.9   0.3   0.3;
>           0.1   0.7   0.6]
>
> So, do you know how to calculate the covariance matrix and cholesky
> factorization?
> I mean... GNU has a library for those?
> If you have any idea to solve this, please let me know....
>
> Thanks,

Hi JongKwan:

I don't think this question makes sense.  A constant matrix
has no covariance.

Rodney