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Subject: Re: Generation of Correlated Data
Date: Sun, 17 Aug 2008 21:48:01 +0000 (UTC)
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Greg Heath <heath@alumni.brown.edu> wrote in message 
<193fc757-3622-4faa-b8ee-
abf2fa117d70@p25g2000hsf.googlegroups.com>...

> The matrix square root is obviously not unique.

  The square root of a positive definite matrix plays essentially the same role of 
uniqueness in matrix theory as does the square root of a positive scalar number 
in the real continuum.  To partially quote Mathworks, it "is the principal square 
root of the matrix ... the unique square root for which every eigenvalue has 
nonnegative real part."

> Why do you prefer using eigenvector methods instead of SQRTM?

  As you must be fully aware, Greg, the matlab function 'sqrtm' does in fact use 
eigenvector methods.  It is an excellent way of finding a matrix principal square 
root.  It is not a question of "instead of".

Roger Stafford