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MINI LECTURE 18: How to build a positive definite correlation matrix for Monte Carlo simulations

N N Taleb's Probability Moocs
103K subscribers
7.1K views 1 year ago
How to build by tinkering a positive definite correlation matrix for Monte Carlo simulations for a given dimensionality. ...more
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MINI LECTURE 18: How to build a positive definite correlation matrix for Monte Carlo simulations
212Likes
7,140Views
2024Mar 17
How to build by tinkering a positive definite correlation matrix for Monte Carlo simulations for a given dimensionality.

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N N Taleb's Probability Moocs

103K subscribers