Singular random matrix decompositions: Jacobians

José A. Díaz García and Graciela González Farías

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

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.

Date: 2002-09
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