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Singular Random Matrix Decompositions: Jacobians

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Author Info
José A. Díaz-García ()
Graciela González-Farías ()
Abstract

For a singular random matrix Y, we find the Jacobians associated with the following decompositions; QR, Polar, Singular Value (SVD), L´U, L´DM and modified QR (QDR). Similarly, we find the Jacobinas of the following decompositions: Spectral, Cholesky´s, L´DL and symmetric non-negative definite square root, of the cross-product matrix S = Y´Y.

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Paper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws024110.

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Date of creation: Sep 2002
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Handle: RePEc:cte:wsrepe:ws024110

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  1. Díaz-García, José A. & Jáimez, Ramón Gutierrez & Mardia, Kanti V., 1997. "Wishart and Pseudo-Wishart Distributions and Some Applications to Shape Theory," Journal of Multivariate Analysis, Elsevier, vol. 63(1), pages 73-87, October. [Downloadable!] (restricted)
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