Description Usage Arguments Details Value Examples
View source: R/cov-estim-help.R
Calculates the squared root of a matrix.
1 | sqrt_root_calc(mat)
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mat |
a positive-definite pxp matrix. |
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.
a pxp matrix, the squared root of mat.
1 2 3 4 | data(sp200)
sp_rets <- sp200[,-1]
sigma_ml <- sigma_estim(sp_rets, "ML")
sigma_ml_sqrt_root <- sqrt_root_calc(sigma_ml)
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