sqrt_root_mat_calc: Squared Root of a Matrix

In antshi/CovEstim: (High-dimensional) Covariance Estimation

Squared Root of a Matrix

Description

Calculates the squared root of a matrix.

Usage

sqrt_root_mat_calc(mat)

Arguments

mat	a positive-definite pxp matrix.

Details

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

\sqrt{X}=\Delta \sqrt{\Lambda}\Delta^{-1},

where \Delta is the matrix of eigenvectors and \sqrt{\Lambda} is a diagonal matrix with the squared roots of the eigenvalues of X.

Value

a pxp matrix, the squared root of mat.

Examples

data(rets_m)
sigma_ml <- cov_estim_wrapper2(rets_m, "ML")
sigma_ml_sqrt_root <- sqrt_root_mat_calc(sigma_ml)

antshi/CovEstim documentation built on June 10, 2025, 3:11 a.m.