Title: Modified Recursive Cholesky (Rchol) Algorithm: An Explicit Estimation and Pseudo-inverse of Correlation Matrices,
Abstract: The Cholesky decomposition plays an important role in finding the inverse of
the correlation matrices. As it is a fast and numerically stable for linear
system solving, inversion, and factorization compared to singular valued
decomposition (SVD), QR factorization and LU decomposition. As different
methods exist to find the Cholesky decomposition of a given matrix. This paper
presents the comparative study of a proposed RChol algorithm with the
conventional methods. The RChol algorithm is an explicit way to estimate the
modified Cholesky factors of a dynamic correlation matrix.