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) ( ) ( ) , 1 , 0( , ) ( ) ( ) , 1 , 0( , ) ( ) ( ) , 1 ch a n g i n g t h e su m m a tion ind e x g i v e s pNn k nmkNn n nmNin n nmiNkn n nmks m s m ki k s m i s m k i p k pi k s m s m i k i p k pi k s m s m k i???????????????????????????? ? ? ? ? ? ??? ? ? ? ? ? ?? ? ? ??????,00( ) ( 1 ) k e y d i ff e r e n ce fr o m A u to cor r e l a tion M e t h o d is t h a t l i m i ts o f sum m a tioni n cl u d e t e r m s b e fo r e = w i n d o w e x te n d s sa m p l e s b a ck w a r d sfr o m t o si n ce w e a r e e x te n d i n g w i n d o w b ai p k pmps n p s n N? ? ????? ck w a r d s, d o n 39。 t n e e d t o t a p e r it u si n g H W si n ce th e r e is n o t r a n si tion a t w i n d o w e dges15 Covariance Method 11( , ) ( , 0) , 1 , 2 , ..., , ( 0 , 0) ( 0 , )( 1 , 1 ) ( 1 , ca n n o t u se a u t o co r r e l a t i o n f o r m u l a t i o n = t h i s i s a t r u e cr o ss co r r e l a t i o n n e e d t o so l v e se t o f e q u a t i o n s o f t h e f o r m ppk n n n n k nkknni k i i p E k? ? ? ? ? ???????? ? ? ???122) . . ( 1 , ) ( 1 , 0)( 2 , 1 ) ( 2 , 2) . . ( 2 , ) ( 2 , 0).. . . . . ... . . . . .( , 1 ) ( , 2) . . ( , ) ( , 0)( , ) ( , ) w e h a v e = sy m m e t r i c b u t n o t T o e p l innn n n npn n n nnnppp p p p pi k k i????? ? ? ??? ? ? ?????? ? ? ???? ? ? ???? ? ? ???? ? ? ????? ? ? ???? ? ? ???? ? ? ?? ? ? ?????( 1 , 1 ) ( , ) ( 1 ) ( 1 ) ( 1 ) ( 1 )( 2 , 2) ( 1 , 1 ) ( 2) ( 2) ( 2) ( 2)( , )t z m a t r i x w h o se d i a g o n a l e l e m e n t sa r e r e l a t e d a s a l l t e r m s h a v e a f i x e d n u m b e r o f t e r mn n n n n nn n n n n nni k i k s i s k s N i s N ks s s N s Nik?????? ? ? ? ? ? ? ? ? ? ? ? ?? ? ? ? ? ? ??( , )s co n t r i b u t i n g t o t h e co m p u t e d v a l u e s ( t e r m s) i s a co v a r i a n ce m a t r i x = so l u t i o n s f o r { } ca l l e d Co v a r i a n ce M e t h o dnkNik???16 Cholesky Deposition Example 11 21 31 4121 22 32 4231 32 33 4341 42 34 441 21 3121 231 32 341 42 43 44 ( , )1 0 0 0 000 11 0 0 0 0 010 0 0 01 0 0 0 co n si d e r e x a m p l e w i t h , a n d m a t r i x e l e m e n t s n ijp i jd VVV dVV dV V V d??? ? ? ?? ? ? ?? ? ? ?? ? ? ?? ? ???????????????? ???? ???? ???? ???? ??????214132 42431 21 31 41 2 32 42 3 43 41 1121 1 21 31 1 31 41 1 4121 21 1 31 31 1 41 41 122 22 1010 0 10 0 0 1, , , , , , , , ,。/ 。 / 。 / so l v e m a t r i x f o r st e p 1 st e p 2 s te p 3VVVVd V V V d V V d V ddV d V d V dV d V d V dd V dV??????????????????????????????? ?? ?32 2 32 31 1 21 32 32 31 1 21 242 2 42 41 1 21 42 42 41 1 21 23 43 4//,st e p 4 i t e r a t e p r o ce d u r e t o so l v e f o r d V d V V V d V dV d V d V V V d V dd V d????? ? ? ? ?? ? ? ? ??17 Cholesky Deposition ttt 1 n o w n e e d t o so lv e f o r u sing a 2 ste p p r o ce d u r e VD V w r iting t h is a s VY = w i thD V o r V D f r o m V ( w h ich is n o w k n o w n ) so lv e f o r c o lum n v e cto r Y u sing a sim p le r e cu r siYY????????????11111,2/ , 1 1/ono f th e f o r m = w ith in itial co n d ition n o w ca n so lv e f o r u sing t h e r e cu r sion w ith in itial co n d ition ii i i j jjpi i i j i jjip p pY V Y p iYY d V i pYd??????????????? ? ? ? ????? 1 1 ca lcula tio n p r o ce e d s b a ck w a r d s f r o m d o w n t o i p i? ? ?18 Cholesky Deposition Example 1121 2231 32 3341 42 43 4414112 2 21 13 3 31 1 32 2441 0 0 01 0 0101 co n t in u in g t h e e x a m p le w e so lv e f o r Y f ir st so lv in g f o r w e g e t YV YVV YV V V YYYYY V YY V Y V YYV????????