msqrt

Compute the symmetric square root of a matrix.

Matrix-variate covariance estimation via the Kronecker-core decomposition. Computes the Kronecker and core covariance matrices corresponding to an arbitrary covariance matrix, and provides an empirical Bayes covariance estimator that adaptively shrinks towards the space of separable covariance matrices. For details, see Hoff, McCormack and Zhang (2022) <arXiv:2207.12484> "Core Shrinkage Covariance Estimation for Matrix-variate data".

Peter Hoff

covKCD

Covariance Estimation for Matrix Data with the Kronecker-Core
Decomposition

msqrt function

<dl><dt>M</dt>
<dd>a positive semidefinite matrix.</dd></dl>

Arguments

Author

Symmetric square root of a matrix — msqrt

<dl>

<dt>M</dt>
<dd>a positive semidefinite matrix.</dd>

</dl>

msqrt: Symmetric square root of a matrix

Description

Usage

Value

Arguments

Author

Examples