D.matrix: Duplication matrix

In matrixcalc: Collection of Functions for Matrix Calculations

Duplication matrix

Description

This function constructs the linear transformation D that maps vech(A) to vec(A) when A is a symmetric matrix

Usage

D.matrix(n)

Arguments

n	a positive integer value for the order of the underlying matrix

Details

Let {\bf{T}}_{i,j} be an n \times n matrix with 1 in its ≤ft( {i,j} \right) element 1 ≤ i,j ≤ n. and zeroes elsewhere. These matrices are constructed by the function T.matrices. The formula for the transpose of matrix \bf{D} is {\bf{D'}} = ∑\limits_{j = 1}^n {∑\limits_{i = j}^n {{{\bf{u}}_{i,j}}\;{{≤ft( {vec\;{{\bf{T}}_{i,j}}} \right)}^\prime }} } where {{{\bf{u}}_{i,j}}} is the column vector in the order \frac{1}{2}n≤ft( {n + 1} \right) identity matrix for column k = ≤ft( {j - 1} \right)n + i - \frac{1}{2}j≤ft( {j - 1} \right). The function u.vectors generates these vectors.

Value

It returns an {n^2}\; \times \;\frac{1}{2}n≤ft( {n + 1} \right) matrix.

Author(s)

Frederick Novomestky [e-mail]

References

Magnus, J. R. and H. Neudecker (1980). The elimination matrix, some lemmas and applications, SIAM Journal on Algebraic Discrete Methods, 1(4), December 1980, 422-449.

Magnus, J. R. and H. Neudecker (1999). Matrix Differential Calculus with Applications in Statistics and Econometrics, Second Edition, John Wiley.

See Also

T.matrices, u.vectors

Examples

D <- D.matrix( 3 )
A <- matrix( c( 1, 2, 3,
                2, 3, 4,
                3, 4, 5), nrow=3, byrow=TRUE )
vecA <- vec( A )
vechA<- vech( A )
y <- D %*% vechA
print( y )
print( vecA )

matrixcalc documentation built on Sept. 15, 2022, 1:05 a.m.