msqrt function

Square Root Matrix

Compute the symmetric square root of a positive definite matrix

msqrt(M)

Arguments

• M: A positive definite matrix

Details

Use spectral decomposition to compute the square root of a positive definite matrix

Returns

• mtxsqrt: The square root matrix

• invsqrt: The inverse of the square root matrix

Author(s)

Ruey S. Tsay

Note

This command is used in some of the MTS functions.

Examples

m=matrix(c(1,0.2,0.2,1),2,2)
m1=msqrt(m)
names(m1)