Closed-form expressions for the regular-part coefficients in matrix polynomial inversion and related results

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Abstract

In this paper closed-form expressions for the coefficient matrices of the regular part of the Laurent expansion for a matrix-polynomial inverse about a pole are obtained. This sets the stage for deriving the dynamic multipliers of a vector autoregressive model (VAR) in a straightforward way.
Lingua originaleEnglish
pagine (da-a)475-498
Numero di pagine24
RivistaJournal of Interdisciplinary Mathematics
Volume12
Stato di pubblicazionePubblicato - 2009

Keywords

  • Core-nilpotent representation
  • Laurent expansion
  • VAR-model solution
  • canonical-form representation
  • dynamic multipliers

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