Difference between revisions of "Inverse Correlation Matrix"
From Open Risk Manual
Wiki admin (talk | contribs) |
(No difference)
|
Latest revision as of 12:13, 10 June 2021
Definition
The Inverse Correlation Matrix denotes the mathematical inverse of a Correlation Matrix. It is related to the concept of the Precision or Concentration matrix.
The inverse of the correlation matrix appears naturally in expressions involving multi-variate Gaussian normal models
See Also
References