msqrt {covKCD}

Symmetric square root of a matrix

Description

Compute the symmetric square root of a matrix.

Usage

msqrt(M)

Arguments

M

a positive semidefinite matrix.

Value

a positive semidefinite matrix.

Author(s)

Peter Hoff

Examples

S<-rWishart(1,5,diag(5))[,,1]
S 
Sh<-msqrt(S)
Sh%*%Sh