Cholesky decomposition issue when learning covariance matrices

aswin-raghavan · February 13, 2018, 9:02pm

Line 5:
sigma = edm.WishartCholesky(df=nu0, scale=psi0,cholesky_input_output_matrices=True)

I notice you do not take the invese of the sample from the wishart, i.e. you don’t have conjugacy anymore. Is this why this works without numerical issues?

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Cholesky decomposition issue when learning covariance matrices

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