sqrt_root_calc: Squared Root of a Matrix

Description Usage Arguments Details Value Examples

View source: R/cov-estim-help.R

Description

Calculates the squared root of a matrix.

Usage

1

Arguments

mat

a positive-definite pxp matrix.

Details

The squared root of a positive-definite symmetric matrix X is calculated with the following formula:

√{X}=Δ √{Λ}Δ^{-1},

where Δ is the matrix of eigenvectors and √{Λ} is a diagonal matrix with the squared roots of the eigenvalues of X.

Value

a pxp matrix, the squared root of mat.

Examples

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data(sp200)
sp_rets <- sp200[,-1]
sigma_ml <- sigma_estim(sp_rets, "ML")
sigma_ml_sqrt_root <- sqrt_root_calc(sigma_ml)

antshi/CovEstim documentation built on Nov. 13, 2020, 2:25 p.m.