Let $\sum$ be the covariance matrix. I know that this matrix is $n\times n$, symmetric and positive definite. To decompose it with Cholesky I have to prove that $\sum$ is hermitian. So, a positive definite matrix is always hermitian? If not, can I apply Cholesky decomposition to not-hermitian matrices?
2026-04-06 05:53:41.1775454821
Hermitian matrix is always positive definite?
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