Click or drag to resize

DescriptiveStatisticsMatrixCholeskyWhite Method (Matrix, Matrix, Matrix)
White series in specified data matrix. Use user specified covariance matrix instead of actual calculation. 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
C#
Copy
public static void CholeskyWhite(
	this Matrix data,
	Matrix covariance,
	Matrix transformation
)

Parameters

data
Type: FinMath.LinearAlgebraMatrix
Data matrix to transform.
covariance
Type: FinMath.LinearAlgebraMatrix
User specified covariance matrix.
transformation
Type: FinMath.LinearAlgebraMatrix
Matrix to store linear whitening transformation.

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).
See Also