Cholesky or Single Value Decomposition

DogonMatrix · November 8th, 2005, 5:54 pm

Will anybody have a good reference on the application of either Cholesky or Single Value Decomposition for VAR ( as in Vector Autoregression) ?

JWD · November 9th, 2005, 3:28 am

Hi DogonMatrix,You ask: Will anybody have a good reference on the application of either Cholesky or Single Value Decomposition for VAR … ?There are many references. You might want to have a look at my book, Ch. 24 (pp. 325-328), and Ch. 26 (p. 346, footnote 23). For algorithms, see the Numerical Recipes book, Ch. 2. -------

DogonMatrix · November 9th, 2005, 1:08 pm

thanks