msqrtInv {covKCD}

Inverse symmetric square root of a matrix

Description

Compute the inverse of the symmetric square root of a matrix.

Usage

msqrtInv(M)

Arguments

M

a positive definite matrix.

Value

a positive definite matrix.

Author(s)

Peter Hoff

Examples

S<-rWishart(1,5,diag(5))[,,1]
solve(S) 
iSh<-msqrtInv(S)
iSh%*%iSh