Further results on the vecd operator and its applications

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper, we consider the matrix vectorization operator termed the vecd operator, which has recently been introduced in the literature. This operator stacks up distinct elements of a symmetric matrix in a way that differs from that of the well-known vech operator; it stacks up not columns, but diagonals. We give further consideration to the vecd operator and related matrices, and derive their various useful properties. We provide some statistical applications of the vecd operator to illustrate its usefulness.

Original languageEnglish
Pages (from-to)2321-2338
Number of pages18
JournalCommunications in Statistics - Theory and Methods
Volume49
Issue number10
DOIs
Publication statusPublished - 2020 May 18

Keywords

  • BEKK model
  • Kronecker product
  • vecd
  • vech
  • volatility spillover; Wald test

ASJC Scopus subject areas

  • Statistics and Probability

Fingerprint Dive into the research topics of 'Further results on the vecd operator and its applications'. Together they form a unique fingerprint.

Cite this