Description Usage Arguments Details Value Author(s) See Also Examples
This function returns the square root of a quadratic and diagonalisable matrix.
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The ellipsis argument is passed down to |
The computation of the square root of a matrix is based upon its eigen values and corresponding eigen vectors. The square matrix A is diagonisable if there is a matrix V such that D = V^{-1}AV, whereby D is a diagonal matrix. This is only achieved if the eigen vectors of the (n \times n) matrix A constitute a basis of dimension n. The square root of A is then A^{1/2} = V D^{1/2} V'.
A matrix
object and a scalar in case a (1 \times 1) matrix has been
provided.
Bernhard Pfaff
1 2 3 4 | data(StockIndex)
S <- cov(StockIndex)
SR <- sqrm(S)
all.equal(crossprod(SR), S)
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