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The Square Root of a Matrix

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  • Karim M. Abadir

    ()
    (Imperial College Business School, UK)

Abstract

This note derives an explicit formula for the numerical calculation of the square root of a matrix, when this function exists. An example is given as an illustration of the formula. The condition for the existence of the square root is also given.

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Bibliographic Info

Paper provided by The Rimini Centre for Economic Analysis in its series Working Paper Series with number 21_12.

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Date of creation: Jun 2012
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Handle: RePEc:rim:rimwps:21_12

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Keywords: square root function; matrix algebra; Jordan decomposition;

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  1. Abadir,Karim M. & Magnus,Jan R., 2005. "Matrix Algebra," Cambridge Books, Cambridge University Press, number 9780521537469, November.
  2. Karim M. Abadir & Jan R. Magnus, 2002. "Notation in econometrics: a proposal for a standard," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 76-90, June.
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