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st: matrix decomposition
From
[email protected]
To
[email protected]
Subject
st: matrix decomposition
Date
Tue, 10 Aug 2010 11:45:41 +0100
Dear all,
I want to get Stata to decompose a variance covariance (pos definite)
matrix, say V, into A*A', where A is not triangular as in the cholesky
decomposition (by the command cholesky(V)), but has other linear
restrictions e.g. zeros in different places. Anyone have any tips/examples
of how to program/command this?
Many thanks for any help,
David
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