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updated 3 months ago

Vectorization of Variance-Covariance Matrix: Column-Wise Order (Multidimensional Arrays) by Monica Mow

Creates a column vector by stacking elements of x that are on and below the diagonal. (vech, volatility, lower triangular)


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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)


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updated 4 years ago

Matrix exponential by Stefan G├╝ttel

A rational Chebyshev method to compute the exponential of a symmetric matrix. (function, symmetric matrix, exponential)




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