Solving matrix equation in Matlab,
显示 更早的评论
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,
采纳的回答
Chuguang Pan
2024-3-7
0 个投票
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 
.
to matrix .5 个评论
Simon Christensen
2024-3-7
编辑：Simon Christensen
2024-3-7
Chuguang Pan
2024-3-7
According to the vector equation:
you can get the typical system of linear equations which is analogeous to 
:
:
Then you can solve it with MATLAB mldivide, \. The following code is an example:
Ap=rand(3);
A=rand(3);
estSigma=rand(3);
vecSigma=(kron(Ap.',A)-eye(size(Ap,1)*size(A,1)))\(-estSigma(:));
Sigma=reshape(vecSigma,size(estSigma,1),size(estSigma,2))
Simon Christensen
2024-3-7
Chuguang Pan
2024-3-7
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.
Simon Christensen
2024-3-7
更多回答（0 个）
类别
在 帮助中心 和 File Exchange 中查找有关 Mathematics and Optimization 的更多信息
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!
Translated by 
