Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152454 | Statistics & Probability Letters | 2011 | 11 Pages |
Abstract
Bartlett’s decomposition provides the distributional properties of the elements of the Cholesky factor of A=GTGA=GTG where the elements of GG are i.i.d. standard Gaussian random variables. In this paper the most general case where the elements of GG have a joint multivariate Gaussian density is considered.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
P. Barone,