calculate cholesky root of cov matrix

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calculate cholesky root of cov matrix

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

What is the fonction of 't' in this l=t(root(cov) fonction?
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Re: calculate cholesky root of cov matrix

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`.
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