On the relationship between the matrix operators, vech and vecd

研究成果: Article査読

1 被引用数 (Scopus)

抄録

We introduce a matrix operator, which we call “vecd” operator. This operator stacks up “diagonals” of a symmetric matrix. This operator is more convenient for some statistical analyses than the commonly used “vech” operator. We show an explicit relationship between the vecd and vech operators. Using this relationship, various properties of the vecd operator are derived. As applications of the vecd operator, we derive concise and explicit expressions of the Wald and score tests for equal variances of a multivariate normal distribution and for the diagonality of variance coefficient matrices in a multivariate generalized autoregressive conditional heteroscedastic (GARCH) model, respectively.

本文言語English
ページ(範囲)3252-3268
ページ数17
ジャーナルCommunications in Statistics - Theory and Methods
47
13
DOI
出版ステータスPublished - 2018 7 3

ASJC Scopus subject areas

  • 統計学および確率

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