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Multivariate Analytics |
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Cholesky |
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Cholesky Decomposition and it's Inverse for real symmetric matrix. |
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Princo |
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Spectral Decomposition, Eigenvalues, Eigenvectors & Principal Components. |
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Student-T |
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Multivariate Student-T and Student-T variates for Fat-Tail / Normal-Mixture
models.
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SVD |
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Singular Value Decomposition for Numerically Unstable Square Matrices. |
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Unitized |
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Generate Multivariate Normal
Distributions from Unitized Returns Directly
without any Matrix decomposition! |
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