tag:blogger.com,1999:blog-6495230762647821938.post2912867218019780822..comments2024-03-11T02:26:37.444-05:00Comments on Treasury Cafe: Cholesky To The Rescue!David Waltzhttp://www.blogger.com/profile/03415644204743030961noreply@blogger.comBlogger6125tag:blogger.com,1999:blog-6495230762647821938.post-53451514054130328272018-09-28T10:48:18.413-05:002018-09-28T10:48:18.413-05:00Hi, David, great post though i have a question tha...Hi, David, great post though i have a question that i ope you will answer.<br />I'm still trying to understand the reason for using the Cholesky decomposition. I understand it is required from a statistical/mathematical point of view, but i don't get the underlying intuition for using it, rather than using the original correlation matrix (i.e. why should i use a lower/upper triangular matrix instead of the full symmetrical matrx?)<br /><br />hope you'll get a chance to see this,<br />ThanksAnonymoushttps://www.blogger.com/profile/03433186704535745076noreply@blogger.comtag:blogger.com,1999:blog-6495230762647821938.post-88636917154359786442014-02-19T09:38:59.763-06:002014-02-19T09:38:59.763-06:00This comment has been removed by the author.David Waltzhttps://www.blogger.com/profile/03415644204743030961noreply@blogger.comtag:blogger.com,1999:blog-6495230762647821938.post-33326446564869821782014-02-17T13:50:17.039-06:002014-02-17T13:50:17.039-06:00Hi David,
I would like to thank you for an excell...Hi David,<br /><br />I would like to thank you for an excellent post. I have studied this topic years ago at the Uni, but forgotten much of that. Thank you for making article so readable and interesting :) Tuomashttps://plus.google.com/+TuomasLainenoreply@blogger.comtag:blogger.com,1999:blog-6495230762647821938.post-70128542654303620262014-02-17T13:28:01.514-06:002014-02-17T13:28:01.514-06:00This comment has been removed by the author.Gregoryhttps://www.blogger.com/profile/09159274794558162855noreply@blogger.comtag:blogger.com,1999:blog-6495230762647821938.post-26347229993493808562014-02-16T06:06:34.122-06:002014-02-16T06:06:34.122-06:00David,
Yes, that would be a correct interpretatio...David,<br /><br />Yes, that would be a correct interpretation. I share your interest in looking into math topics, my limitation appears to be that I have a strong need for tangibility - a lot of the math folks use symbols and shorthand, with the result for me being I cannot answer the question "that's great, now how do I make that work in a spreadsheet?" Hence every once in a while I try to tackle that on my own through these blog posts :-)David Waltzhttps://www.blogger.com/profile/03415644204743030961noreply@blogger.comtag:blogger.com,1999:blog-6495230762647821938.post-10904990847980864892014-01-31T20:53:55.197-06:002014-01-31T20:53:55.197-06:00Hi David. Thanks for this post - I enjoy trying t...Hi David. Thanks for this post - I enjoy trying to wrap my head around complex math topics. I *think* I understand the purpose of the Cholesky process from your description. Is this a correct interpretation?: A modeler can convert uncorrelated standard normal RVs into adjusted RVs that reflect correlations in real data using the Cholesky matrix built from the data's correlation matrix. Best regards, DaveAnonymousnoreply@blogger.com