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st: RE: matrix decomposition
From
"Feiveson, Alan H. (JSC-SK311)" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: matrix decomposition
Date
Tue, 10 Aug 2010 08:18:26 -0500
David if V = A*A' where A is the Cholesky decomposition, you can get any other decomposition of V by multiplying A by an arbitrary orthogonal matrix, say P. Thus
(AP)*(AP)' = APP'A' = AIA' = AA' = V
since by definition, PP' = I
Of course, given A, you would have to figure out how construct P to do what you want and still be orthogonal.
Al Feiveson
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of [email protected]
Sent: Tuesday, August 10, 2010 5:46 AM
To: [email protected]
Subject: st: matrix decomposition
Dear all,
I want to get Stata to decompose a variance covariance (pos definite)
matrix, say V, into A*A', where A is not triangular as in the cholesky
decomposition (by the command cholesky(V)), but has other linear
restrictions e.g. zeros in different places. Anyone have any tips/examples
of how to program/command this?
Many thanks for any help,
David
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