The Jacobian of the exponential function

DOI10.1016/j.jedc.2021.104122zbMath1478.15012OpenAlexW3036448350WikidataQ115571101 ScholiaQ115571101MaRDI QIDQ2246606

Enrique Sentana, H. G. J. Pijls, Jan R. Magnus

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://research.vu.nl/en/publications/12d7d469-39fd-48fb-bdd9-37d255436b3c

zbMATH Keywords

Ornstein-Uhlenbeck processcontinuous-time Markov chainorthogonal matriximpulse response analysismatrix differential calculus

Mathematics Subject Classification ID

Diffusion processes (60J60) Statistical methods; economic indices and measures (91B82) Matrix exponential and similar functions of matrices (15A16) Orthogonal matrices (15B10)

Related Items

Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions ⋮ Locally robust inference for non-Gaussian linear simultaneous equations models

Uses Software

• DLMF

Cites Work

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