DescriptiveStatisticsMatrixCholeskyWhite Method (Matrix)

White series in specified data matrix. I.e. center apply linear transformation which intends to make covariance matrix unit. Columns corresponds to variables Rows corresponds to observations. This transformation use inversed Cholesky factor.

Namespace: FinMath.Statistics
Assembly: FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170

Syntax

Copy

public static void CholeskyWhite(
	this Matrix data
)

Parameters

data: Type: FinMath.LinearAlgebraMatrix
Data matrix to transform.

Usage Note

In Visual Basic and C#, you can call this method as an instance method on any object of type Matrix. When you use instance method syntax to call this method, omit the first parameter. For more information, see Extension Methods (Visual Basic) or Extension Methods (C# Programming Guide).

Reference

DescriptiveStatisticsMatrix Class

CholeskyWhite Overload

FinMath.Statistics Namespace

DescriptiveStatisticsMatrixAddLanguageSpecificTextSet("LST4966EAF4_0?cpp=::|nu=.");CholeskyWhite Method (Matrix)

Parameters

Usage Note

Reference

DescriptiveStatisticsMatrixCholeskyWhite Method (Matrix)