Say you have a square (variance)covariance matrix S
How would one go about working S^-1/2 (inverse of the principle square)?
Bearing in mind, I'm trying to understand a paper which states:
I've tried multiple suggestions, such as:
- square root, then take the inverse of the square root: Inverse Square Root Of Matrix
- reciprocal of the square root of each term in the diagonal: Raising a square matrix to a negative half power
- plus tried (^-1/2) directly on multiple online matrix calculators
However, none of them seem to hold true for the latter part of the what's stated on the paper.