get_symmetric_sqrt {gmvarkit}R Documentation

Calculate symmetric square root matrix of a positive definite covariance matrix

Description

get_symmetric_sqrt calculates symmetric square root matrix of a positive definite covariance matrix

Usage

get_symmetric_sqrt(Omega)

Arguments

Omega

a positive definite covariance matrix

Value

a vectorized symmetric square root matrix of the matrix Omega.

Warning

No argument checks!


[Package gmvarkit version 2.1.3 Index]