hankel_cholesky, a FORTRAN90 code which can compute the upper Cholesky factor of a symmetric positive definite (SPD) Hankel matrix H, that is, H = R' * R.
A Hankel matrix is a matrix which is constant along all antidiagonals. A schematic of a 5x5 symmetric Hankel matrix would be:
a b c d e b c d e f c d e f g d e f g h e f g h i
The computer code and data files described and made available on this web page are distributed under the MIT license
hankel_cholesky is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version and a Python version.
ASA006, a FORTRAN90 code which computes the Cholesky factorization of a symmetric positive definite (SPD) matrix, by Michael Healy. This is a MATLAB version of Applied Statistics Algorithm 6;
hankel_spd, a FORTRAN90 code which can compute a lower triangular matrix L which is the Cholesky factor of a symmetric positive definite (SPD) Hankel matrix H, that is, H = L * L'.
TOEPLITZ_CHOLESKY, a FORTRAN90 code which computes the Cholesky factorization of a symmetric positive definite (SPD) Toeplitz matrix.