factor_covariance {restrictedMVN}R Documentation

Compute the square-root and inverse square-root of a non-negative definite matrix.

Description

Compute the square-root and inverse square-root of a non-negative definite matrix.

Usage

factor_covariance(S, rank = NA)

Arguments

S

matrix

rank

rank of svd

[Package restrictedMVN version 1.0 Index]