Cholesky factors of covariance and correlation matrices in Stan

In this blog, I would like to give a quick overview of different types of matrices and their transformations (e.g., Cholesky decomposition) in stan. These matrices include variance-covaiance matrix (Σ), correlation matrix (R), Cholesky factor of covariance matrix (L) and Cholesky factor of correlation matrix (Lcorr). Before we move to Cholesky decomposition, it is good to know the relationship between variance-covaiance matrix (Σ) and correlation matrix (R). Simply put, we can rewrite Σ as the product of a diagonal matrix (σ) and a correlation…