The threshold used in the Cholesky decomposition of the population covariance matrix to decide whether a variable is linearly dependent on previous variables. The k-th variable is judged to be linearly dependent on variables 1 through k-1 if the k-th pivot is less than CholeskyEpsilon.
The InstantSqrt and SpecifyPopulation methods make use of CholeskyEpsilon.
Syntax
value= object.CholeskyEpsilon
object.CholeskyEpsilon = value
The CholeskyEpsilon property syntax has the following parts:
Part |
Description |
object |
An object of type AmosRanGen. |
value |
The threshold. |
Default
The default threshold is 1.0e-10.