If the source matrix is 3-by-3 or smaller, then it's possible to compute the inverse using brute force. If you need the determinant of the source matrix, then using LUP decomposition (Crout or ...

For a symmetric correlation matrix, the Inverse Correlation Matrix table contains the inverse of the correlation matrix, as shown in Figure 40.14. The diagonal elements of the inverse correlation ...

Dr. James McCaffrey of Microsoft Research presents a full-code, step-by-step tutorial on an implementation of the technique that emphasizes simplicity and ease-of-modification over robustness and ...