When Does Thresholding Preserve Positive Definiteness?
Does a symmetric positive definite matrix remain positive definite when we set one or more elements to zero? This question arises in thresholding, in which elements of absolute value less than some tolerance are set to zero. Thresholding is used in some applications to remove correlations thought to be spurious, so that only statistically significant … Continue reading When Does Thresholding Preserve Positive Definiteness?
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