sqrtmat.comp: Compute squareroot of large covariance matrix

Description Usage Arguments Value Author(s) References Examples

Description

Compute squareroot of large covariance matrix

Usage

1
sqrtmat.comp(mat, thresh = 10^(-20), K = NULL)

Arguments

mat

Covariance matrix

thresh

(default=10^(-20))

K

Dimension of the matrix. Default is set as ncol(mat)-1

Value

squareroot of matrix

Author(s)

Seonjoo Lee, sl3670@cumc.columbia.edu

References

TBA

Examples

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

seonjoo/sparsemediation documentation built on June 8, 2019, 1:50 a.m.