Cholesky Decomposition

[Alberto Bolzoni]

Good morning everyone,

I'm quite new with Stata and I'm trying to learn as much as I can from Statalist older discussion but I have a problem:
my goal is, starting from a variance-covariance matrix that has to be uploaded from an Excel file (let's say nxn matrix - e.g.10x10) I need to decompose this matrix using the Cholesky decomposition method (and of course o export the output in Excel).

Has anyone some suggestion?

Thank you very much in advance.
Alberto

[Andrew Musau]

It is not clear what your problem is: importing and exporting to Excel or Cholesky decomposition. See

help cholesky

for the latter.

[Eric de Souza]

The first row of corrmatrix.xlsx contains the variable names for each column of the matrix: from v1 to v10

import excel corrmatrix.xlsx", first
mkmat v1-v10,matrix(A)
matrix list A
matrix B = cholesky(A)
matrix list B
putexcel set B.xlsx
putexcel A1 = matrix(B)

[Alberto Bolzoni]

The first row of corrmatrix.xlsx contains the variable names for each column of the matrix: from v1 to v10

import excel corrmatrix.xlsx", first
mkmat v1-v10,matrix(A)
matrix list A
matrix B = cholesky(A)
matrix list B
putexcel set B.xlsx
putexcel A1 = matrix(B)

Thank you so much Eric!
The code you sent works perfectly!