Library: | xplore |
See also: | inv svd ginv |
Quantlet: | symroot | |
Description: | Calculates the symmetric root of a symmetric positive semidefinite matrix,(s.p.s.d.) ie. symroot(x)=symroot(x)' and symroot(x)*symroot(x) = x. uesful for simulation of multivariate normal variates with a given Covariance Structure |
Usage: | ix = symroot(x) | |
Input: | ||
x | p x p matrix , s. p.s.d. | |
Output: | ||
ix | p x p matrix , the symmtric root of x |
library("xplore") library("plot") C=#(2,1)~#(1,1) x = normal(2,300) x =(symroot(C)*x)' setmaskp(x, 4, 3, 8) disp = createdisplay(1,1) show(disp,1,1,x)
generates a sample of size #300 of N_2(0,C) and plots it