MATERNCHOL is the jMatern module of jLab.

 MATERNCHOL  Cholesky decomposition of Matern and fBm covariances.
    MATERNCHOL is a low-level function called by MATERNOISE.
    T=MATERNCHOL(DT,N,SIGMA,ALPHA,LAMBDA) returns the Cholesky 
    decomposition of the N x N autocovariance matrix of a Matern process.
    T=MATERNCHOL(DT,N,SIGMA,ALPHA,LAMBDA,NU,MU) does the same, but for the
    extended Matern process.   See MATERNCOV for details.
    T=MATERNCHOL(DT,N,SIGMA,ALPHA,LAMBDA,NU,MU,'composite') does the same, 
    but for the composite Matern process.  See MATERNCOV for details.
    T=MATERNCHOL(DT,N,A,ALPHA,0) returns the Cholesky decomposition for
    fractional Brownian motion.  In this case, the third input argument is
    the spectral amplitude A, not the standard deviation SIGMA.
    Non positive-definiteness adjustment
    It can be the case that the covariance matrix is not positive definite 
    to numerical precision, owing to very small eigenvalues, and this
    will cause the Cholesky decomposition to fail.
    In such cases, an identity matrix with a very small amplitude is added
    to the covariance matrix in order to ensure numerical stability, and a
    notification is issued.  The amplitude begins at 1e-16 and increases
    by powers of ten until positive definiteness is attained.
    'maternchol --t' runs a test.
    Usage: T=maternchol(dt,N,sigma,alpha,lambda,nu,mu);
    This is part of JLAB --- type 'help jlab' for more information
    (C) 2013--2015  A.M. Sykulski and J.M. Lilly
                                  --- type 'help jlab_license' for details 

contents | allhelp | index