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INFLUENCE ANALYSIS OF CHOLESKY DECOMPOSITION  

Kim, Myung-Geun (Department of Mathematics Education, Seowon University)
Publication Information
Journal of applied mathematics & informatics / v.28, no.3_4, 2010 , pp. 913-921 More about this Journal
Abstract
The derivative influence measure is adapted to the Cholesky decomposition of a covariance matrix. Formulas for the derivative influence of observations on the Cholesky root and the inverse Cholesky root of a sample covariance matrix are derived. It is easy to implement this influence diagnostic method for practical use. A numerical example is given for illustration.
Keywords
Covariance matrix; derivative influence; influence function; outliers;
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