On the repeated inversion of a covariance matrix

2017/08/25 by Marielle de Jong, de Jong, M.
Computer Science · Mathematics · #Advanced Statistical Methods and Models #FOS: Mathematics #Numerical Analysis (math.NA) #Optical measurement and interference techniques #Statistical and numerical algorithms

paper · pdf · doi:10.48550/arxiv.1708.07622

openalex publication_date 2017/08/25 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In many cases, the values of some model parameters are determined by maximising the likelihood of a set of data points given the parameter values. The presence of outliers in the data and correlations between data points complicate this procedure. An efficient procedure for the elimination of outliers is presented which takes the correlations between data points into account.

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