IDEAS home Printed from https://ideas.repec.org/r/tiu/tiutis/d0b1e779-7795-4676-ac98-19daa5121204.html
   My bibliography  Save this item

The commutation matrix : Some properties and applications

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Yin, Chuancun & Balakrishnan, Narayanaswamy, 2024. "Stochastic representations and probabilistic characteristics of multivariate skew-elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 199(C).
  2. Turkington, Darrell A., 1998. "Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 85(1), pages 51-74, July.
  3. Paulo M. D. C. Parente & Richard J. Smith, 2021. "Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 377-405, July.
  4. Hausman, Jerry & Kuersteiner, Guido, 2008. "Difference in difference meets generalized least squares: Higher order properties of hypotheses tests," Journal of Econometrics, Elsevier, vol. 144(2), pages 371-391, June.
  5. Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2024. "Cluster GARCH," Papers 2406.06860, arXiv.org.
  6. Reinaldo B. Arellano-Valle & Adelchi Azzalini, 2022. "Some properties of the unified skew-normal distribution," Statistical Papers, Springer, vol. 63(2), pages 461-487, April.
  7. Jang, Hyun Jung & Shin, Seung Jun & Artemiou, Andreas, 2023. "Principal weighted least square support vector machine: An online dimension-reduction tool for binary classification," Computational Statistics & Data Analysis, Elsevier, vol. 187(C).
  8. Barbosa, José Diogo & Moreira, Marcelo J., 2021. "Likelihood inference and the role of initial conditions for the dynamic panel data model," Journal of Econometrics, Elsevier, vol. 221(1), pages 160-179.
  9. Huang, Shih-Hao & Huang, Su-Yun, 2021. "On the asymptotic normality and efficiency of Kronecker envelope principal component analysis," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
  10. Symeonides Spyridon D. & Karavias Yiannis & Tzavalis Elias, 2017. "Size corrected Significance Tests in Seemingly Unrelated Regressions with Autocorrelated Errors," Journal of Time Series Econometrics, De Gruyter, vol. 9(1), pages 1-41, January.
  11. Haas, Markus & Mittnik, Stefan, 2008. "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series 2008/08, Center for Financial Studies (CFS).
  12. Dovonon, Prosper & Taamouti, Abderrahim & Williams, Julian, 2022. "Testing the eigenvalue structure of spot and integrated covariance," Journal of Econometrics, Elsevier, vol. 229(2), pages 363-395.
  13. Solomon Harrar & Arne Bathke, 2012. "A modified two-factor multivariate analysis of variance: asymptotics and small sample approximations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(1), pages 135-165, February.
  14. D. Stephen G. Pollock, 2021. "Multidimensional Arrays, Indices and Kronecker Products," Econometrics, MDPI, vol. 9(2), pages 1-15, April.
  15. Kang, Chul & Kim, Byung-Chun, 1996. "The N-th moment of matrix quadratic form," Statistics & Probability Letters, Elsevier, vol. 28(4), pages 291-297, August.
  16. Arie Kapteyn & Heinz Neudecker & Tom Wansbeek, 1986. "An approach ton-mode components analysis," Psychometrika, Springer;The Psychometric Society, vol. 51(2), pages 269-275, June.
  17. Loperfido, Nicola, 2024. "The skewness of mean–variance normal mixtures," Journal of Multivariate Analysis, Elsevier, vol. 199(C).
  18. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-966, July.
  19. Holden, Tom, 2016. "Computation of solutions to dynamic models with occasionally binding constraints," EconStor Preprints 130143, ZBW - Leibniz Information Centre for Economics.
  20. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Tests for Random Coefficient Variation in Vector Autoregressive Models," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 1-35, Emerald Group Publishing Limited.
  21. Boik, Robert J., 1998. "A Local Parameterization of Orthogonal and Semi-Orthogonal Matrices with Applications," Journal of Multivariate Analysis, Elsevier, vol. 67(2), pages 244-276, November.
  22. Chrétien, Stéphane & Ortega, Juan-Pablo, 2014. "Multivariate GARCH estimation via a Bregman-proximal trust-region method," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 210-236.
  23. D.A. Turkington, 1997. "Some results in matrix calculus and an example of their application to econometrics," Economics Discussion / Working Papers 97-07, The University of Western Australia, Department of Economics.
  24. Stephen Pollock, 2011. "On Kronecker Products, Tensor Products And Matrix Differential Calculus," Discussion Papers in Economics 11/34, Division of Economics, School of Business, University of Leicester, revised Jul 2011.
  25. Gabriela Beganu, 2007. "Quadratic estimators of covariance components in a multivariate mixed linear model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 16(3), pages 347-356, November.
  26. Liu-Evans, Gareth & Phillips, Garry D.A., 2018. "On the use of higher order bias approximations for 2SLS and k-class estimators with non-normal disturbances and many instruments," Econometrics and Statistics, Elsevier, vol. 6(C), pages 90-105.
  27. Jiming Jiang & Matt P. Wand & Aishwarya Bhaskaran, 2022. "Usable and precise asymptotics for generalized linear mixed model analysis and design," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(1), pages 55-82, February.
  28. van Daalen, Silke & Caswell, Hal, 2020. "Variance as a life history outcome: Sensitivity analysis of the contributions of stochasticity and heterogeneity," Ecological Modelling, Elsevier, vol. 417(C).
  29. Liu-Evans, Gareth, 2014. "A note on approximating moments of least squares estimators," MPRA Paper 57543, University Library of Munich, Germany.
  30. Javed, Farrukh & Loperfido, Nicola & Mazur, Stepan, 2024. "Edgeworth expansions for multivariate random sums," Econometrics and Statistics, Elsevier, vol. 31(C), pages 66-80.
  31. Schott, James R., 1996. "Eigenprojections and the equality of latent roots of a correlation matrix," Computational Statistics & Data Analysis, Elsevier, vol. 23(2), pages 229-238, December.
  32. Loperfido, Nicola, 2021. "Some theoretical properties of two kurtosis matrices, with application to invariant coordinate selection," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
  33. Rezaei, Amir & Yousefzadeh, Fatemeh & Arellano-Valle, Reinaldo B., 2020. "Scale and shape mixtures of matrix variate extended skew normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 179(C).
  34. Dlugoszek, Grzegorz R., 2016. "Solving DSGE portfolio choice models with asymmetric countries," SFB 649 Discussion Papers 2016-009, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  35. Koen Jochmans, 2024. "Nonparametric identification and estimation of stochastic block models from many small networks," Post-Print hal-04672521, HAL.
  36. Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019. "How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis," Advances in Econometrics, in: Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A, volume 40, pages 229-248, Emerald Group Publishing Limited.
  37. Sun, Yixiao, 2011. "Robust trend inference with series variance estimator and testing-optimal smoothing parameter," Journal of Econometrics, Elsevier, vol. 164(2), pages 345-366, October.
  38. Gabriel Frahm, 2020. "Statistical properties of estimators for the log-optimal portfolio," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 92(1), pages 1-32, August.
  39. Thiago do Rêgo Sousa & Robert Stelzer, 2022. "Moment‐based estimation for the multivariate COGARCH(1,1) process," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(2), pages 681-717, June.
  40. repec:hum:wpaper:sfb649dp2013-024 is not listed on IDEAS
  41. Caswell, Hal & Shyu, Esther, 2012. "Sensitivity analysis of periodic matrix population models," Theoretical Population Biology, Elsevier, vol. 82(4), pages 329-339.
  42. Jochmans, Koen, 2024. "Nonparametric identification and estimation of stochastic block models from many small networks," Journal of Econometrics, Elsevier, vol. 242(2).
  43. Lan, Hong & Meyer-Gohde, Alexander, 2012. "Existence and uniqueness of perturbation solutions to DSGE models," SFB 649 Discussion Papers 2012-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  44. Shephard, Neil & Xiu, Dacheng, 2017. "Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading," Journal of Econometrics, Elsevier, vol. 201(1), pages 19-42.
  45. Filippeli, Thomai & Harrison, Richard & Theodoridis, Konstantinos, 2020. "DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation," Econometrics and Statistics, Elsevier, vol. 16(C), pages 1-27.
  46. Gupta, Arjun K. & Harrar, Solomon W. & Fujikoshi, Yasunori, 2006. "Asymptotics for testing hypothesis in some multivariate variance components model under non-normality," Journal of Multivariate Analysis, Elsevier, vol. 97(1), pages 148-178, January.
  47. Kuersteiner, Guido M., 2012. "Kernel-weighted GMM estimators for linear time series models," Journal of Econometrics, Elsevier, vol. 170(2), pages 399-421.
  48. Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022. "A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model," Econometrics, MDPI, vol. 10(3), pages 1-41, August.
  49. Sneek, J.M., 1982. "Some approximations to the exact distribution of sample autocorrelations for autoregressive moving average models," Serie Research Memoranda 0002, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  50. Meitz, Mika & Saikkonen, Pentti, 2021. "Testing for observation-dependent regime switching in mixture autoregressive models," Journal of Econometrics, Elsevier, vol. 222(1), pages 601-624.
  51. repec:hum:wpaper:sfb649dp2013-022 is not listed on IDEAS
  52. repec:hum:wpaper:sfb649dp2012-015 is not listed on IDEAS
  53. Hal Caswell, 2014. "A matrix approach to the statistics of longevity in heterogeneous frailty models," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 31(19), pages 553-592.
  54. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2009. "Asymmetric multivariate normal mixture GARCH," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2129-2154, April.
  55. Jan Koláček & Ivana Horová, 2017. "Bandwidth matrix selectors for kernel regression," Computational Statistics, Springer, vol. 32(3), pages 1027-1046, September.
  56. Paul Bekker, 1986. "A note on the identification of restricted factor loading matrices," Psychometrika, Springer;The Psychometric Society, vol. 51(4), pages 607-611, December.
  57. Bodnar, Olha & Bodnar, Taras, 2021. "Objective Bayesian meta-analysis based on generalized multivariate random effects model," Working Papers 2021:5, Örebro University, School of Business.
  58. Ghazal, G. A., 1996. "Recurrence formula for expectations of products of quadratic forms," Statistics & Probability Letters, Elsevier, vol. 27(2), pages 101-109, April.
  59. Alexander Karalis Isaac, 2014. "Higher moments of MSVARs and the business cycle," BCAM Working Papers 1405, Birkbeck Centre for Applied Macroeconomics.
  60. Lan, Hong & Meyer-Gohde, Alexander, 2013. "Decomposing risk in dynamic stochastic general equilibrium," SFB 649 Discussion Papers 2013-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  61. Dietrich Rosen, 1995. "Residuals in the growth curve model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 47(1), pages 129-136, January.
  62. O. J. Boxma & E. J. Cahen & D. Koops & M. Mandjes, 2019. "Linear Stochastic Fluid Networks: Rare-Event Simulation and Markov Modulation," Methodology and Computing in Applied Probability, Springer, vol. 21(1), pages 125-153, March.
  63. Loperfido, Nicola, 2014. "A note on the fourth cumulant of a finite mixture distribution," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 386-394.
  64. Kentaro Hayashi & Yiu-Fai Yung, 1999. "Standard errors for the class of orthomax-rotated factor loadings: Some matrix results," Psychometrika, Springer;The Psychometric Society, vol. 64(4), pages 451-460, December.
  65. Lan, Hong & Meyer-Gohde, Alexander, 2013. "Pruning in perturbation DSGE models: Guidance from nonlinear moving average approximations," SFB 649 Discussion Papers 2013-024, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  66. Manuel Galea & Patricia Giménez, 2019. "Local influence diagnostics for the test of mean–variance efficiency and systematic risks in the capital asset pricing model," Statistical Papers, Springer, vol. 60(1), pages 293-312, February.
  67. Tu, I-Ping & Huang, Su-Yun & Hsieh, Dai-Ni, 2019. "The generalized degrees of freedom of multilinear principal component analysis," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 26-37.
  68. Neudecker, Heinz & Polasek, Wolfgang & Liu, Shuangzhe, 1995. "The heteroskedastic linear regression model and the Hadamard product a note," Journal of Econometrics, Elsevier, vol. 68(2), pages 361-366, August.
  69. Reiß, Markus & Winkelmann, Lars, 2021. "Inference on the maximal rank of time-varying covariance matrices using high-frequency data," Discussion Papers 2021/14, Free University Berlin, School of Business & Economics.
  70. Loperfido, Nicola, 2014. "Linear transformations to symmetry," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 186-192.
  71. Holden, Tom D., 2016. "Existence, uniqueness and computation of solutions to dynamic models with occasionally binding constraints," EconStor Preprints 127430, ZBW - Leibniz Information Centre for Economics.
  72. Grant Hillier & Raymond Kan, 2021. "Moments of a Wishart Matrix," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 141-162, December.
  73. Thomai Filippeli, 2011. "Theoretical Priors for BVAR Models & Quasi-Bayesian DSGE Model Estimation," 2011 Meeting Papers 396, Society for Economic Dynamics.
  74. Shanken, Jay & Zhou, Guofu, 2007. "Estimating and testing beta pricing models: Alternative methods and their performance in simulations," Journal of Financial Economics, Elsevier, vol. 84(1), pages 40-86, April.
  75. Filippeli, Thomai & Harrison, Richard & Theodoridis, Konstantinos, 2018. "DSGE-based Priors for BVARs & Quasi-Bayesian DSGE Estimation," Cardiff Economics Working Papers E2018/5, Cardiff University, Cardiff Business School, Economics Section.
  76. Liu, Shuangzhe & Leiva, Víctor & Zhuang, Dan & Ma, Tiefeng & Figueroa-Zúñiga, Jorge I., 2022. "Matrix differential calculus with applications in the multivariate linear model and its diagnostics," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
  77. Liu-Evans, Gareth, 2010. "An alternative approach to approximating the moments of least squares estimators," MPRA Paper 26550, University Library of Munich, Germany.
  78. Christian Gische & Manuel C. Voelkle, 2022. "Beyond the Mean: A Flexible Framework for Studying Causal Effects Using Linear Models," Psychometrika, Springer;The Psychometric Society, vol. 87(3), pages 868-901, September.
  79. Heinz Neudecker, 2004. "Problemsection," Statistical Papers, Springer, vol. 45(2), pages 297-301, April.
  80. Johan Lyhagen, 2012. "A note on the representation of $${E\left({\textit{\textbf {x}}}\otimes {\textit{\textbf {xx}}}^{\prime}\right) }$$ and $${E\left({\textit{\textbf {xx}}}^{\prime }\otimes {\textit{\textbf {xx}}}^{\pri," Statistical Papers, Springer, vol. 53(3), pages 697-701, August.
  81. Lan, Hong & Meyer-Gohde, Alexander, 2013. "Solving DSGE models with a nonlinear moving average," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2643-2667.
  82. Arismendi, J.C., 2013. "Multivariate truncated moments," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 41-75.
  83. repec:hum:wpaper:sfb649dp2011-087 is not listed on IDEAS
  84. Robert Boik, 2008. "Newton Algorithms for Analytic Rotation: an Implicit Function Approach," Psychometrika, Springer;The Psychometric Society, vol. 73(2), pages 231-259, June.
  85. Philip L. H. Yu & W. K. Li & F. C. Ng, 2017. "The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 513-527, October.
  86. Bura, E. & Yang, J., 2011. "Dimension estimation in sufficient dimension reduction: A unifying approach," Journal of Multivariate Analysis, Elsevier, vol. 102(1), pages 130-142, January.
  87. Shanshan Hu & Yongxin Yuan, 2023. "Common Solutions to the Matrix Equations $$AX=B$$ A X = B and $$XC=D$$ X C = D on a Subspace," Journal of Optimization Theory and Applications, Springer, vol. 198(1), pages 372-386, July.
  88. W. Polasek, 1985. "A dual approach for matrix-derivatives," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 32(1), pages 275-292, December.
  89. Shoichi Eguchi & Hiroki Masuda, 2019. "Data driven time scale in Gaussian quasi-likelihood inference," Statistical Inference for Stochastic Processes, Springer, vol. 22(3), pages 383-430, October.
  90. Özgür Asar & David Bolin & Peter J. Diggle & Jonas Wallin, 2020. "Linear mixed effects models for non‐Gaussian continuous repeated measurement data," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 69(5), pages 1015-1065, November.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.