inverse_sqrt: Inverse of the square root of a matrix

In abichat/zazou: Z-Scores As Ornstein-Uhlenbeck

Description

Compute R, the inverse of the square root of a matrix M such that

M^{-1} = R'R.

Usage

inverse_sqrt(M)

Arguments

M	a symmetric positive definite matrix

Value

a lower triangular matrix

Examples

M <- matrix(2, ncol = 3, nrow = 3) + diag(5, ncol = 3, nrow = 3)
R <- inverse_sqrt(M)
t(R) %*% R %*% M ## Should be the Identity

abichat/zazou documentation built on Sept. 8, 2021, 6:53 a.m.