sqrtm_robust function

Compute the square root of a matrix

sqrtm_robust(m)

Arguments

• m: squared matrix (KxK)

Returns

squared matrix x (KxK) such that x

References

#' This function is a modified version of the "sqrtm_robust" function by Le and Singleton (2018).

"A Small Package of Matlab Routines for the Estimation of Some Term Structure Models."

(Euro Area Business Cycle Network Training School - Term Structure Modelling). Available at: https://cepr.org/40029