Singular random matrix decompositions: Jacobians

José A. Díaz-García and Graciela González-Farías

Journal of Multivariate Analysis, 2005, vol. 93, issue 2, 296-312

Abstract: 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.

Keywords: Hausdorff; measure; Singular; distribution; SVD; QR; L'U; L'DM; and; polar; decompositions; Spectral; L'DL; Cholesky; decompositions; Symmetric; nonnegative; definite; square; root (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (3)

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