sqrtmat.comp: Compute squareroot of large covariance matrix

In seonjoo/smm: Sparse Mediation For High-Dimensional Mediators

Description

Compute squareroot of large covariance matrix

Usage

sqrtmat.comp(mat, thresh = 10^(-20), K = NULL)

Arguments

mat	Covariance matrix
thresh	(default: 10^(-20)) for matrix decomposition
K	Dimension of the matrix. Default is set as ncol(mat)-1

Value

squareroot of matrix

Author(s)

Seonjoo Lee, [e-mail]

References

TBA

Examples

set.seed(1234)
x=matrix(100*20,100,20)
covmat=cov(x)
sqrtmat.comp(covmat)

seonjoo/smm documentation built on Feb. 11, 2021, 5:54 a.m.