Bartlett's decomposition provides the distributional properties of the elements of the Cholesky factor of $A=G^TG$ where the elements of $G$ are i.i.d. standard Gaussian random variables. In this paper the most general case where the elements of $G$ have a joint multivariate Gaussian density is considered.
A generalization of Bartlett s decomposition
Barone P
2011
Abstract
Bartlett's decomposition provides the distributional properties of the elements of the Cholesky factor of $A=G^TG$ where the elements of $G$ are i.i.d. standard Gaussian random variables. In this paper the most general case where the elements of $G$ have a joint multivariate Gaussian density is considered.File in questo prodotto:
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