sqrtmat {dynmix} | R Documentation |
This function computes the square root of a matrix.
sqrtmat(A)
A |
symmetric positive-definite |
matrix
B
such that BB'=A
https://en.wikipedia.org/wiki/Square_root_of_a_matrix
A <- matrix(c(5,1,1,3),2,2)
B <- sqrtmat(A)
B %*% t(B)
A