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Re: multivariate gaussian distribution (Code)
- From: Przemyslaw Sliwa <sliwa at euv-frankfurt-o dot de>
- To: <gsl-discuss at sources dot redhat dot com>
- Date: Mon, 29 Dec 2003 12:52:00 +0100 (MET)
- Subject: Re: multivariate gaussian distribution (Code)
Sure,
The Cholesky decomposition will fail for matrices which are not positive
definite (imdefinite). LU decomposition is applicable to all matrices.
So the general requirement (symmetric, positive definite) is not ensured
when using LU decomposition.
Cheers
Przem