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[YouTube] MINI LECTURE 18 (MORE TECHNICAL): How to build a positive definite correlation matrix for Monte Carlo Simulations for a set dimensionality

On March 24, 2024 By Admin In MOOCs, Videos

How to build by tinkering with a positive definite correlation matrix for Monte Carlo simulations for a given dimensionality.

Tagged with correlation matrix, dimensionality, eigenvalues, fat tail distribution, gaussian distribution, Monte Carlo simulations, positive definite matrix, principal components analysis, randomness effect, sample size, YouTube

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