The square root method is an algorithm which solves the Matrix Equation

(1) |

(2) |

(3) | |||

(4) |

so

(5) |

(6) |

These give

(7) |

giving from

(8) |

which gives

(9) |

Finally, find from the s and

(10) |

giving the desired solution,

(11) |

**References**

Kenney, J. F. and Keeping, E. S. *Mathematics of Statistics, Pt. 2, 2nd ed.* Princeton, NJ: Van Nostrand, pp. 298-300, 1951.

© 1996-9

1999-05-26