msqrt {MTS}

Square Root Matrix

Description

Compute the symmetric square root of a positive definite matrix

Usage

msqrt(M)

Arguments

M

A positive definite matrix

Details

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

Value

mtxsqrt

The square root matrix

invsqrt

The inverse of the square root matrix

Note

This command is used in some of the MTS functions.

Author(s)

Ruey S. Tsay

Examples

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