msqrt: Square Root Matrix
In d-/MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
msqrt R Documentation
Square Root Matrix
Description
Compute the symmetric square root of a positive definite
matrix
Usage
msqrt(M)
Arguments
M
A positive definite matrix
Details
Use spectral decomposition to compute the square root of
a positive definite matrix
Value
mtxsqrt
The square root matrix
invsqrt
The inverse of the square root matrix
Note
This command is used in some of the MTS functions.
Author(s)
Ruey S. Tsay
Examples
m=matrix(c(1,0.2,0.2,1),2,2)
m1=msqrt(m)
names(m1)
d-/MTS documentation built on June 12, 2022, 12:50 a.m.
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| msqrt | R Documentation |
Square Root Matrix
Description
Compute the symmetric square root of a positive definite matrix
Usage
msqrt(M)
Arguments
M |
A positive definite matrix |
Details
Use spectral decomposition to compute the square root of a positive definite matrix
Value
mtxsqrt |
The square root matrix |
invsqrt |
The inverse of the square root matrix |
Note
This command is used in some of the MTS functions.
Author(s)
Ruey S. Tsay
Examples
m=matrix(c(1,0.2,0.2,1),2,2) m1=msqrt(m) names(m1)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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