How to Cite
Neudecker, Heinz. “A matrix function useful in the estimation of linear continuous-time models”. SORT-Statistics and Operations Research Transactions, 2006, vol.VOL 30, no. 1, pp. 85-90, https://raco.cat/index.php/SORT/article/view/73879.
Abstract
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.Rights
Copyright
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