sqrt_root_calc: Squared Root of a Matrix
In antshi/CovEstim: (High-dimensional) Covariance Estimation

Calculates the squared root of a matrix.

1	sqrt_root_calc(mat)

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.

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.

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