Hi Everyone,
I need to take the square root of the following matrix:
[,1] [,2] [,3]
[1,] 0.5401984 -0.3998675 -1.3785897
[2,] -0.3998675 1.0561872 0.8158639
[3,] -1.3785897 0.8158639 1.6073119
I tried Choleski which fails. I then tried Choleski with pivoting, but
unfortunately the square root I get is not valid. I also tried eigen
decomposition but i did no get far.
Any clue on how to do it?!
Thanks,
Simon
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