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The Singular-Value Decomposition of the First-Order Difference Matrix

Published online by Cambridge University Press:  11 February 2009

N.G. Shepard
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Abstract

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Type
Solutions
Information
Econometric Theory , Volume 6 , Issue 1 , March 1990 , pp. 119 - 120
Copyright
Copyright © Cambridge University Press 1990

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References

1.Anderson, T.W.The statistical analysis of time series. New York: Wiley, 1971.Google Scholar
2.Magnus, J.R. & Neudecker, H.Matrix differential calculus. Chichester: Wiley, 1988.Google Scholar
3.Von Neumann, J.Distribution of the ratio of the mean square successive difference to the variance. Annals of Mathematical Statistics 1 (1941): 367–395.CrossRefGoogle Scholar