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updated 4 months ago

Fast Symmetric Positive Definite Matrix Inverse by Eric Blake

Uses LAPACK, Cholesky to invert real, positive definite, symmetric matrix. Faster than inv. (cholesky decompositio..., covariance matrix, kalman filter)

run_to_compile_and_test.m

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updated 8 months ago

3D Gaussian ellipses constant probability curves by Hugo

Construct data points of ellipsoids depicting contour curves of 3-dimensional Gaussian distributions (contour curves, covariance matrix, data points)

ellipsedata3(covmat,center,numpoints,sigmarule,varargin)

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updated 8 months ago

Gaussian ellipses constant probability curves by Hugo

Construct data points of ellipses representing contour curves of bivariate Gaussian distributions. (gaussian, probability, contour curves)

ellipsedata(covmat,center,numpoints,sigmarule,varargin)

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updated 1 year ago

nearestSPD by John D'Errico

Finding the nearest positive definite matrix (positive definite mat..., covariance matrix, covariance)

nearestSPD_demo

nearestSPD(A)

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updated 3 years ago

Nearest positive semi-definite covariance matrix by Marco B.

Find nearest positive semi-definite matrix to a symmetric matrix that is not positive semi-definite (covariance matrix, statistics)

nearest_posdef(in)

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updated 6 years ago

Convert covariance matrix to correlation matrix by Denis

Converts covariance matrix to correlation matrix setting exactly 1-s on its main diagonal (statistics, probability, covariance matrix)

Cov2Corr(ExpCovariance)

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