Singular random matrix decompositions: Jacobians

For a singular random matrix X, we find the Jacobians associated to the following decompositions: QR, Polar, Singular Value (SVD), L'U, L'DM and modified QR (QDR). Similarly, for the cross-product matrix S=X'X we find the Jacobians of the Spectral, Cholesky's, L'DL and symmetric nonnegative definite square root decompositions.

MoreLess

Year of publication:	2005
Authors:	Díaz-García, José A. ; González-Farías, Graciela
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 93.2005, 2, p. 296-312
Publisher:	Elsevier
Keywords:	Hausdorff measure Singular distribution SVD QR L'U L'DM and polar decompositions Spectral L'DL Cholesky decompositions Symmetric nonnegative definite square root

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005006570