The Jacobian of the exponential function

Autor:	Jan Magnus, Pijls, Henk G. J., Enrique Sentana
Přispěvatelé:	Econometrics and Data Science
Předmět:	Matrix differential calculus C63 Orthogonal matrix ddc:330 Continuous-time Markov chain Ornstein-Uhlenbeck process C65 C32
Zdroj:	Vrije Universiteit Amsterdam Magnus, J, Pijls, H G J & Sentana, E 2020 ' The Jacobian of the exponential function ' III edn, Tinbergen Institute . < https://papers.tinbergen.nl/20035.pdf >
Popis:	We derive closed-form expressions for the Jacobian of the matrix exponential function for both diagonalizable and defective matrices. The results are applied to two cases of interest in macroeconometrics: a continuous-time macro model and the parametrization of rotation matrices governing impulse response functions in structural vector autoregressions.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::eadcd5017aa6f12e6b1a54290cc66613 https://research.vu.nl/en/publications/12d7d469-39fd-48fb-bdd9-37d255436b3c Zobrazit plný text záznamu