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Re: fast svdc for Singular Value Decomposition? [message #82200 is a reply to message #82199] Mon, 03 December 2012 09:28 Go to previous messageGo to previous message
DavidF[1] is currently offline  DavidF[1]
Messages: 94
Registered: April 2012
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Have you had a look at this article:

http://www.idlcoyote.com/code_tips/eof_analysis.html

There is a trick described there for creating the covariance matrix that makes calculating the eigenvalues extremely fast (25 minutes the conventional way, verses seconds the fast way). It has been a LONG time since I did that, so I'm not sure I can help very much. About all I remember is that the Wilks book mentioned there, where I learned the trick, was worth about 10 times what I paid for it! :-)

Cheers,

David
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