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Singular random matrix decompositions: Jacobians

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  • Díaz García, José A.
  • González Farías, Graciela

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.

Suggested Citation

  • Díaz García, José A. & González Farías, Graciela, 2002. "Singular random matrix decompositions: Jacobians," DES - Working Papers. Statistics and Econometrics. WS ws024110, Universidad Carlos III de Madrid. Departamento de Estadística.
    • 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.
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