Browsing by Subject "Cholesky decomposition"
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(IEEE Computer Society, 2013)The switch to Multi-core systems has ended the reliance on the single processor for increase in performance and moved into Parallelism. However, the exponential growth in performance of the single processor in the 80's and ...
(2015)Parsimonious estimation of high-dimensional covariance matrices is of fundamental importance in multivariate statistics. Typical examples occur in finance, where the instantaneous dependence among several asset returns ...