Refine by Content Type

Refine by Product

Refine by Time Frame

image thumbnail

updated 1 month 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)

vechmd(x)

image thumbnail

updated 3 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

image thumbnail

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)

rcexpmv(A,v,tol,solver)

rcexpmv2(K,M,v,tol,solver)

test_rcexpmv.m

Contact us