Statistics and Computing 2002
DOI: 10.1007/b97337
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Elements of Computational Statistics

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Cited by 28 publications
(1 citation statement)
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“…More precisely, it is necessary to initially derive the latent dataset composed of n samples of N ( 0, ∑). As proposed in [20], the starting point is to compute, by applying the Cholesky factorization, a matrix B such that BB T = ∑. Hence, numerical sampling x i ∈ R m ; 1 ≤ i ≤ n, of N ( 0, Σ) can be derived as x i = µ + Bz i , where µ = 0 is the m dimensional null vector, since all m expected values are equal to zero, and z i are independent samplings of a univariate standard normal distribution N (0, 1).…”
Section: Methodology For Data Generationmentioning
confidence: 99%
“…More precisely, it is necessary to initially derive the latent dataset composed of n samples of N ( 0, ∑). As proposed in [20], the starting point is to compute, by applying the Cholesky factorization, a matrix B such that BB T = ∑. Hence, numerical sampling x i ∈ R m ; 1 ≤ i ≤ n, of N ( 0, Σ) can be derived as x i = µ + Bz i , where µ = 0 is the m dimensional null vector, since all m expected values are equal to zero, and z i are independent samplings of a univariate standard normal distribution N (0, 1).…”
Section: Methodology For Data Generationmentioning
confidence: 99%