Estimate correlations

Hi all,

I have tried to estimate the correlations between several variables. I declared a cholesky factor of the correlation matrix by using cholesky_fac_corr. However, when I multiplied the estimated L with L’, I did not get a correlation matrix (the diagonal values are not 1). Does anyone know what’s going on?

Thank you very much!


How did you multiply it?
Using L*L' or, better yet: multiply_lower_tri_self_transpose(L) ?

And by ‘not 1’, do you mean they were very far off of 1, or is it within machine precision error?