Revistes Publicacions URV: SORT - Statistics and Operations Research Transactions> 2006

A matrix function useful in the estimation of linear continuous-time models

  • Datos identificativos

    Identificador: RP:2299
    Handle: https://hdl.handle.net/20.500.11797/RP2299
    Autores:
    Neudecker, Heinz
    Resumen:
    In a recent publication Chen & Zadrozny (2001) derive some equations for efficiently computing eA and ∇eA, its derivative. They employ an expression due to Bellman (1960), Snider (1964) and Wilcox (1967) for the differential deA and a method due to Van Loan (1978) to find the derivative ∇eA. The present note gives a) a short derivation of ∇eA by way of the Bellman-Snider-Wilcox result, b) a shorter derivation without using it. In both approaches there is no need for Van Loan’s method.

  • Otros:

    Autor/es de la URV: Neudecker, Heinz
    Resumen: In a recent publication Chen & Zadrozny (2001) derive some equations for efficiently computing eA and ∇eA, its derivative. They employ an expression due to Bellman (1960), Snider (1964) and Wilcox (1967) for the differential deA and a method due to Van Loan (1978) to find the derivative ∇eA. The present note gives a) a short derivation of ∇eA by way of the Bellman-Snider-Wilcox result, b) a shorter derivation without using it. In both approaches there is no need for Van Loan’s method.
    Año de publicación de la revista: 2006
    Tipo de publicación: info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article