mhalf: The symmetric square root of a positive definite matrix.

In tensr: Covariance Inference and Decompositions for Tensor Datasets

Description

Returns the unique symmetric positive definite square root matrix of a provided symmetric positive definite matrix.

Usage

mhalf(M)

Arguments

M	A symmetric positive definite matrix.

Value

The unique symmetric positive definite matrix X such that XX = M.

Author(s)

Peter Hoff.

Examples

Y <- matrix(stats::rnorm(4), nrow = 2)
M <- Y %*% t(Y)
X <- mhalf(M)
X
identical(M, X %*% X)

Example output

           [,1]       [,2]
[1,]  0.9732059 -0.7507601
[2,] -0.7507601  1.2707310
[1] FALSE

tensr documentation built on May 2, 2019, 2:32 p.m.