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Cholesky and the Cholesky decomposition: a commemoration by an applied statistician. (Cholesky et la décomposition de Cholesky.) (English. French summary) Zbl 1418.62016

Summary: Major André-Louis Cholesky was killed in action during the First World War on 31st August 1918. The centenary of his death in action is an opportunity to pay tribute to this outstanding scientist. Linear regression methods used in France at the time of his death are recalled. An early algorithm which Augustin-Louis Cauchy introduced to alleviate the computational burden in multiple linear regression is revisited. This algorithm iteratively builds an upper-triangular system of linear equations whose solution estimates the regression coefficients. It turns out that in the case of least-squares the upper-triangular system which is constructed is exactly that obtained by applying a closely related variant of the Cholesky decomposition to the normal equations.

MSC:

62-03 History of statistics
15-03 History of linear algebra
62J05 Linear regression; mixed models
01A70 Biographies, obituaries, personalia, bibliographies

Biographic References:

Cholesky, André-Louis
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