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sstvars (version 1.2.1)

get_symmetric_sqrt: 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)

Value

a vectorized symmetric square root matrix of the matrix Omega.

Arguments

Omega

a positive definite covariance matrix

Warning

No argument checks!