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

• Autores: Heinz Neudecker
• Localización: Sort: Statistics and Operations Research Transactions, ISSN 1696-2281, Vol. 30, Nº. 1, 2006, págs. 85-90
• Idioma: inglés
• Títulos paralelos:
  • Una función matricial útil en la estimación de modelos lineales continuos.
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• Resumen

  • In a recent publication Chen & Zadrozny (2001) derive some equations for efficiently computing eA and ¿Þ 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 ¿Þ eA. The present note gives a) a short derivation of ¿Þ 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¿fs method.