https://communities.sas.com/t5/SAS-Health-and-Life-Sciences/calculate-cholesky-root-of-cov-matrix/m-p/12867#M884 l=t(root(cov)); /* calculate cholesky root of cov matrix */<BR /> <BR /> What is the fonction of 't' in this l=t(root(cov) fonction? Mon, 30 Mar 2009 20:12:56 GMT deleted_user 2009-03-30T20:12:56Z https://communities.sas.com/t5/SAS-Health-and-Life-Sciences/calculate-cholesky-root-of-cov-matrix/m-p/12867#M884 l=t(root(cov)); /* calculate cholesky root of cov matrix */<BR /> <BR /> What is the fonction of 't' in this l=t(root(cov) fonction? Mon, 30 Mar 2009 20:12:56 GMT https://communities.sas.com/t5/SAS-Health-and-Life-Sciences/calculate-cholesky-root-of-cov-matrix/m-p/12867#M884 deleted_user 2009-03-30T20:12:56Z https://communities.sas.com/t5/SAS-Health-and-Life-Sciences/calculate-cholesky-root-of-cov-matrix/m-p/12868#M885 The Cholesky decomposition factors a matrix A into two triangular matrices: A = U` * U where U is upper triangular. The T function takes the transpose of a matrix. Therefore L = T(root(cov)) is the lower triangular matrix U`. Fri, 29 May 2009 19:11:17 GMT https://communities.sas.com/t5/SAS-Health-and-Life-Sciences/calculate-cholesky-root-of-cov-matrix/m-p/12868#M885 Rick_SAS 2009-05-29T19:11:17Z