Hello everybody,
I have a question related to cholesky matrix decomposition.
My question consists of two parts:
http://imgur.com/a/JYHGh
1) Why would the author of this book use "for i=(n+1)...2n" on the third line instead of what he did on the second line ie "for i=1...n"? It looks to me like they will both totally give the same result.
2) Could someone help me understand how the matrix called sigma is actually constructed? This part is totally unclear to me.
$\Sigma = SS^T$ where S is computed using the cholesky decomposition.