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cholesky-decomposition

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Autodiff is a numerical library for the Go programming language that supports automatic differentiation. It implements routines for linear algebra (vector/matrix operations), numerical optimization and statistics

  • Updated Dec 8, 2021
  • Go

A powerful library extending VBA with over 100 functions for math, stats, finance, and data manipulation. It supports matrix operations, and user-defined functions, enhancing automation and analysis within Microsoft Office and LibreOffice environments for data management, financial calculations, an more.

  • Updated May 17, 2025
  • VBA

This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, vol. 99(3), pages 1053-1069, June. Specifically: Cholesky Decomposition, Structural Impulse Response, Historical Evolution of the Structural Shock, His…

  • Updated Aug 13, 2023
  • MATLAB

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