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The Square Root of a Matrix

Author

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  • Abadir Karim M.

    (Imperial College London)

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 illustrated.

Suggested Citation

  • Abadir Karim M., 2012. "The Square Root of a Matrix," Journal of Time Series Econometrics, De Gruyter, vol. 4(2), pages 1-7, November.
    • Handle: RePEc:bpj:jtsmet:v:4:y:2012:i:2:n:4
    DOI: 10.1515/1941-1928.1140
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    References listed on IDEAS

    as
    1. Abadir Karim M., 2012. "The Square Root of a Matrix," Journal of Time Series Econometrics, De Gruyter, vol. 4(2), pages 1-7, 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.
    3. Abadir,Karim M. & Magnus,Jan R., 2005. "Matrix Algebra," Cambridge Books, Cambridge University Press, number 9780521537469, September.
    4. repec:cup:cbooks:9780521822893 is not listed on IDEAS
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    1. Abadir Karim M., 2012. "The Square Root of a Matrix," Journal of Time Series Econometrics, De Gruyter, vol. 4(2), pages 1-7, November.

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    More about this item

    Keywords

    square root function; matrix algebra; Jordan decomposition;
    All these keywords.

    JEL classification:

    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other

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