Inverting a matrix function around a singularity via local rank factorization

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.

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Year of publication:	2014-12
Authors:	Franchi, Massimo ; Paruolo, Paolo
Institutions:	Dipartimento di Scienze Statistiche, Facoltà di Scienze Statistiche
Subject:	Matrix valued functions \| Matrix inversion \| Analytic perturbation \| Laurent series expansion

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Extent:	application/pdf
Series:	DSS Empirical Economics and Econometrics Working Papers Series.
Type of publication:	Book / Working Paper
Notes:	Number 2014/6 22 pages
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011099493