Solving matrix equation in Matlab,
8 views (last 30 days)
Show older comments
Simon Christensen
on 7 Mar 2024
Commented: Simon Christensen
on 7 Mar 2024
Hi Matlab,
I'm currently doing research on macroeconomic variables; hence attempting to solve an matrix equation in Matlab ( see attached photo, marked with yellow (following VECM Analysis in JMulTi July 5, 2005, page 26). Does anyone know to calculate the value for sigma (marked with yellow)?
I haven't attached a code, since, at the moment, don't know how to calculate it in Matlab, hence any help greatly appreciated!
Best regards,
0 Comments
Accepted Answer
Chuguang Pan
on 7 Mar 2024
Using vectorization operator vec, which transfer a matrix to a column vector through stacking matrix's columns vertically. There is a useful equation in this context.
, where ⊗ represents kronecker product.
The matrix equation can be converted to the following vector equation,
This vector equation can be solved with MATLAB, and you can reshape the to matrix .
5 Comments
Chuguang Pan
on 7 Mar 2024
I am not familiar with how the estimator of the covariance matrix is obtained. The variable estSigma is just named referred to the image @Simon Christensen.
More Answers (0)
See Also
Categories
Find more on Mathematics and Optimization in Help Center and File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!