On the relationship between the matrix operators,vech and vecd |
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Authors: | Daisuke Nagakura |
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Institution: | 1. Department of Economics, Keio University, Tokyo, Japannagakura@z7.keio.jp |
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Abstract: | We introduce a matrix operator, which we call “vecd” operator. This operator stacks up “diagonals” of a symmetric matrix. This operator is more convenient for some statistical analyses than the commonly used “vech” operator. We show an explicit relationship between the vecd and vech operators. Using this relationship, various properties of the vecd operator are derived. As applications of the vecd operator, we derive concise and explicit expressions of the Wald and score tests for equal variances of a multivariate normal distribution and for the diagonality of variance coefficient matrices in a multivariate generalized autoregressive conditional heteroscedastic (GARCH) model, respectively. |
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Keywords: | Orthogonal matrix Permutation matrix Symmetric matrix vech vecd Wald test |
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