medium · Quantitative Finance prob-stats
If a symmetric matrix A is positive definite, what does this imply about its Cholesky decomposition A = LL^top?
- The decomposition only exists when matrix A is already diagonal.
- The resulting L must instead be an orthogonal matrix, not lower triangular.
- The decomposition exists and the diagonal entries of L are strictly positive.
- The decomposition exists here, but entries of matrix L may end up being complex numbers.
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