Root of a Matrix

Description

Computes the root of a symmetric and positive semidefinite matrix.

Usage

root.matrix(X)

Arguments

X	a symmetric and positive semidefinite matrix

Value

a symmetric matrix of same dimensions as X

Examples

library("strucchange")

X <- matrix(c(1,2,2,8), ncol=2)
test <- root.matrix(X)
## control results
X

     [,1] [,2]
[1,]    1    2
[2,]    2    8

test %*% test

     [,1] [,2]
[1,]    1    2
[2,]    2    8