Convert2JordanForm: Convert a generic matrix to its Jordan form

In MultiATSM: Multicountry Term Structure of Interest Rates Models

Convert a generic matrix to its Jordan form

Description

Convert a generic matrix to its Jordan form

Usage

Convert2JordanForm(K1XQ)

Arguments

K1XQ	squared matrix in non-Jordan form

Details

this Jordan matrix form handles real, complex and repeated eigenvalues.

Value

squared matrix in Jordam form

References

This function is based on the "Convert2JordanForm" function by Le and Singleton (2018).
"A Small Package of Matlab Routines for the Estimation of Some Term Structure Models."
(Euro Area Business Cycle Network Training School - Term Structure Modelling). Available at: https://cepr.org/40029

MultiATSM documentation built on April 4, 2025, 1:40 a.m.