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The Square Root of a Matrix

Author

Listed:
  • 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.

Suggested Citation

  • Karim M. Abadir, 2012. "The Square Root of a Matrix," Working Paper series 21_12, Rimini Centre for Economic Analysis.
    • Handle: RePEc:rim:rimwps:21_12
    as

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    File URL: http://www.rcea.org/RePEc/pdf/wp21_12.pdf
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    References listed on IDEAS

    as
    1. Abadir,Karim M. & Magnus,Jan R., 2005. "Matrix Algebra," Cambridge Books, Cambridge University Press, number 9780521537469.
    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. repec:cup:cbooks:9780521822893 is not listed on IDEAS
    4. 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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    Cited by:

    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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