sqrtm_robust: Compute the square root of a matrix

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Compute the square root of a matrix

Description

Compute the square root of a matrix

Usage

sqrtm_robust(m)

Arguments

m	squared matrix (KxK)

Value

squared matrix x (KxK) such that x

References

#' This function is a modified version of the "sqrtm_robust" function by Le and Singleton (2018).
"A Small Package of Matlab Routines for the Estimation of Some Term Structure Models."
(Euro Area Business Cycle Network Training School - Term Structure Modelling). Available at: https://cepr.org/40029

MultiATSM documentation built on April 4, 2025, 1:40 a.m.