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jgomezdans/wishar_update.py

Created November 23, 2009 17:11
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wishar_update.py
# Find Cholesky decomposition
cvalue = numpy.linalg.cholesky( covar_matrix )
# Locally store size of matrix
dims = covar_matrix.shape
# Add normal deviate to value, preserving lower triangular
covar_proposed = numpy.multiply( cvalue + random_update, numpy.tri(dims[0]))
# Square and replace
covar_proposed = covar_proposed*transpose(covar_proposed)
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