get_symmetric_sqrt

<code>get_symmetric_sqrt</code> calculates symmetric square root matrix
 of a positive definite covariance matrix

internal

Penalized and non-penalized maximum likelihood estimation of smooth
transition vector autoregressive models with various types of transition weight
functions, conditional distributions, and identification methods. Constrained
estimation with various types of constraints is available. Residual based
model diagnostics, forecasting, simulations, and calculation of impulse
response functions, generalized impulse response functions, and generalized
forecast error variance decompositions. See
Heather Anderson, Farshid Vahid (1998) <doi:10.1016/S0304-4076(97)00076-6>,
Helmut Lütkepohl, Aleksei Netšunajev (2017) <doi:10.1016/j.jedc.2017.09.001>,
Markku Lanne, Savi Virolainen (2025) <doi:10.48550/arXiv.2403.14216>,
Savi Virolainen (2025) <doi:10.48550/arXiv.2404.19707>.

Savi Virolainen

sstvars

Toolkit for Reduced Form and Structural Smooth Transition Vector
Autoregressive Models

get_symmetric_sqrt function

<dl><dt>Omega</dt>
<dd>a positive definite covariance matrix</dd></dl>

Arguments

Warning

Calculate symmetric square root matrix of a positive definite covariance
  matrix — get_symmetric_sqrt

<dl>

<dt>Omega</dt>
<dd>a positive definite covariance matrix</dd>

</dl>

get_symmetric_sqrt: Calculate symmetric square root matrix of a positive definite covariance matrix

Description

Usage

Value

Arguments

Warning