Compute squareroot of large covariance matrix

Compute squareroot of large covariance matrix

sqrtmat.comp(mat, thresh = 10^(-20), K = NULL)

Arguments

mat	Covariance matrix
thresh	(default=10^(-20))
K	Dimension of the matrix. Default is set as ncol(mat)-1

Value

squareroot of matrix

References

TBA

Examples

set.seed(1234)
x=matrix(100*20,100,20)
covmat=cov(x)
sqrtmat.comp(covmat)
#>       [,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11] [,12] [,13]
#>  [1,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#>  [2,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#>  [3,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#>  [4,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#>  [5,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#>  [6,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#>  [7,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#>  [8,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#>  [9,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#> [10,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#> [11,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#> [12,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#> [13,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#> [14,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#> [15,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#> [16,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#> [17,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#> [18,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#> [19,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#> [20,]    0    0    0    0    0    0    0    0    0     0     0     0     0
#>       [,14] [,15] [,16] [,17] [,18] [,19] [,20]
#>  [1,]     0     0     0     0     0     0     0
#>  [2,]     0     0     0     0     0     0     0
#>  [3,]     0     0     0     0     0     0     0
#>  [4,]     0     0     0     0     0     0     0
#>  [5,]     0     0     0     0     0     0     0
#>  [6,]     0     0     0     0     0     0     0
#>  [7,]     0     0     0     0     0     0     0
#>  [8,]     0     0     0     0     0     0     0
#>  [9,]     0     0     0     0     0     0     0
#> [10,]     0     0     0     0     0     0     0
#> [11,]     0     0     0     0     0     0     0
#> [12,]     0     0     0     0     0     0     0
#> [13,]     0     0     0     0     0     0     0
#> [14,]     0     0     0     0     0     0     0
#> [15,]     0     0     0     0     0     0     0
#> [16,]     0     0     0     0     0     0     0
#> [17,]     0     0     0     0     0     0     0
#> [18,]     0     0     0     0     0     0     0
#> [19,]     0     0     0     0     0     0     0
#> [20,]     0     0     0     0     0     0     0