Description Usage Arguments Author(s) References Examples
Negative square root of a positive definite matrix.
1 |
sigma |
Positive definite matrix. |
Joseph W. McKean
Kloke and McKean (2014), Nonparametrics Using R, Boca Raton: Chapman-Hall.
1 2 3 4 5 6 7 8 9 10 11 12 | ##---- Should be DIRECTLY executable !! ----
##-- ==> Define data, use random,
##-- or do help(data=index) for the standard data sets.
## The function is currently defined as
function (sigma)
{
temp <- eigen(sigma, symmetric = TRUE)
sigma12 <- temp$vectors %*% diag(temp$values^(-0.5)) %*%
t(temp$vectors)
sigma12
}
|
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