calculate cholesky root of cov matrix

[deleted_user]

l=t(root(cov)); /* calculate cholesky root of cov matrix */

What is the fonction of 't' in this l=t(root(cov) fonction?

[Rick_SAS]

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`.