Browsing by Subject "2D-block LDL^t decomposition"

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COMPUTATION OF MULTIVARIATE NORMAL PROBABILITIES USING BIVARIATE CONDITIONING WITH SIMULATION

TRINH, GIANG (2013)

We introduce algorithms for block LDL^{t} decompositions of positive definite covariance matrices. These are extensions of the LDL^t decomposition which requires D to be a diagonal matrix. We make use of these algorithms ...