[SciPy-User] cholesky

alexander baker baker.alexander@gmail....
Fri Apr 23 04:15:35 CDT 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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