Solving matrix equation in Matlab,

8 次查看(过去 30 天)
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
Chuguang Pan 2024-3-7
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 个评论
Chuguang Pan
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.

请先登录,再进行评论。

更多回答(0 个)

类别

Help CenterFile Exchange 中查找有关 Subspace Methods 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