msqrt: Square Root Matrix

In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

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)

MTS documentation built on April 11, 2022, 5:07 p.m.