MTS: msqrt – R documentation

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msqrt

Square Root Matrix

Compute the symmetric square root of a positive definite matrix

msqrt(M)

`M`	A positive definite matrix

Use spectral decomposition to compute the square root of a positive definite matrix

`mtxsqrt`	The square root matrix
`invsqrt`	The inverse of the square root matrix

This command is used in some of the MTS functions.

Ruey S. Tsay

m=matrix(c(1,0.2,0.2,1),2,2)
m1=msqrt(m)
names(m1)

All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

v1.0

Artistic License 2.0

Authors

Ruey S. Tsay and David Wood

Initial release

2018-10-8