Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix

We present an algorithm for updating the symmetric factorization of a positive semi-definite matrix after a positive rank-one modification, which works even if the matrices involved do not have full rank. Recursive least squares and factor analysis provide two important econometric applications. An illustrative simulation shows that it can be potentially very useful in recursive situations.

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Year of publication:	1999-03-10
Authors:	Sentana, Enrique
Published in:	Spanish Economic Review. - Asociación Española de Economía - AEE. - Vol. 1.1999, 1, p. 79-90
Publisher:	Asociación Española de Economía - AEE
Subject:	Recursive least squares \| factor analysis \| Cholesky decomposition \| multicollinearity

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Extent:	application/pdf
Type of publication:	Article
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005598219