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From |
"Feiveson, Alan H. (JSC-SK311)" <alan.h.feiveson@nasa.gov> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: matrix decomposition |

Date |
Tue, 10 Aug 2010 08:18:26 -0500 |

David if V = A*A' where A is the Cholesky decomposition, you can get any other decomposition of V by multiplying A by an arbitrary orthogonal matrix, say P. Thus (AP)*(AP)' = APP'A' = AIA' = AA' = V since by definition, PP' = I Of course, given A, you would have to figure out how construct P to do what you want and still be orthogonal. Al Feiveson -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of D.Ronayne@warwick.ac.uk Sent: Tuesday, August 10, 2010 5:46 AM To: statalist@hsphsun2.harvard.edu Subject: st: matrix decomposition 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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: matrix decomposition***From:*D.Ronayne@warwick.ac.uk

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