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updated 9 months ago

Symmetric QR Algorithm with Permutations by Aravindh Krishnamoorthy

Demonstrates the Symmetric QR Algorithm with Permutations (qr, qr algorithm, qr algorithm with per...)

bic(A)

diord(A)

onestep_bic(A)

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updated 1 year ago

Linear Extended Whitening Filters (Demo) by Aravindh Krishnamoorthy

Demo of dual-function whitening filters that triangularize or decorrelate a second matrix or RV (ewf, whitening filter, linear extended white...)

ewf_decor(X, Y)

ewf_tri(X, H)

test_ewf.m

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updated 1 year ago

Large Inverse Cholesky by Aravindh Krishnamoorthy

Computes the coefficient matrices of Structured Vector Autoregressive Model (structured vector aut..., svar, var)

lic(X, K)

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updated 1 year ago

Matrix Inversion using Cholesky Decomposition by Aravindh Krishnamoorthy

Finds the inverse of the matrix X, given its (lower triangular) Cholesky Decomposition. (cholesky decompositio..., inversion)

inv_chol(L)

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