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Inverting a matrix function around a singularity via local rank factorization

Author

Listed:
  • Massimo Franchi

    (Sapienza Universita' di Roma)

  • Paolo Paruolo

    (European Commission)

Abstract

This paper proposes a recursive procedure that characterizes the order of the pole and the coecients of the Laurent series representation of the inverse of a regular analytic matrix function. The algorithm consists in performing a finite sequence of rank factorizations of matrices of non-increasing dimension, at most equal to the dimension of the original matrix function.

Suggested Citation

  • Massimo Franchi & Paolo Paruolo, 2014. "Inverting a matrix function around a singularity via local rank factorization," DSS Empirical Economics and Econometrics Working Papers Series 2014/6, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
  • Handle: RePEc:sas:wpaper:20146
    as

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    File URL: http://www.dss.uniroma1.it/RePec/sas/wpaper/20146_fp.pdf
    File Function: First version, 2014
    Download Restriction: no
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    More about this item

    Keywords

    Matrix valued functions; Matrix inversion; Analytic perturbation; Laurent series expansion;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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