I am trying to numerically verify that A symmetric matrix \mathbf{A} is positive semidefinite if and only if it is a covariance matrix. Then I need to verify in both directions, i.e. Given a positive semidefinite matrix \mathbf{A}, show that it is a covariance matrix. Given a covariance matrix…

Verify a matrix is positive semi-definite

tkoolen April 20, 2019, 4:31pm 7

A Cholesky decomposition requires positive definiteness though; semidefiniteness is not enough.

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