A Cholesky diagonal entry

The symmetric positive-definite matrix A=(46625)A=\begin{pmatrix} 4 & 6 \\ 6 & 25 \end{pmatrix} factors as A=LL⊤A = LL^\top with LL lower-triangular and positive diagonal. Compute the bottom-right entry L22L_{22}. (to 4 decimals)

Show hints (2)+
  1. Match LL⊤LL^\top to AA entry by entry: L11=4L_{11}=\sqrt{4}, then L21=6/L11L_{21}=6/L_{11}.
  2. L22=A22−L212=25−9L_{22}=\sqrt{A_{22} - L_{21}^2}=\sqrt{25-9} - subtract the earlier column's contribution.

Answer

Reveal answer →

4 (± 0.001)

Create a free account to see the full worked solution and track your progress.

Interview format: Prop Trading, Systematic & Data-Driven Trading

Related questions