Multi-companion matrices

DOI10.1016/S0024-3795(01)00475-XMaRDI QIDQ92814zbMATH OpenFDO

Authors Georgi N. Boshnakov, Georgi N. Boshnakov

Publication date October 2002

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0024-3795(01)00475-X

zbMATH Keywords

continuous-time autoregressioneigenvaluesgeneralized eigenvectorsJordan decompositionmulti-companion matrices

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Hermitian, skew-Hermitian, and related matrices (15B57) Linear regression; mixed models (62J05) Generalized linear models (logistic models) (62J12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

Multi-companion matrices are defined, characterized, and studied. They generalize companion matrices. Generalized eigenvectors of multi-companion matrices are described and parametrized by their eigenvalues. It is found that each (generalized) eigenvector of a \(k\)-companion \(m\times m\) matrix can be represented as a simple function of the corresponding eigenvalue and \(k-1\) quantities, which are functionally independent from all eigenvalues of the matrix and the generalized eigenvectors corresponding to different eigenvalues. An application in periodic autoregression and in multivariate autoregression in continuous time is described.

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Cites work

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Cited in

(8)

• Periodic matrix difference equations and companion matrices in blocks: some applications
• Eigenvalue Locations of Generalized Companion Predictor Matrices
• Specifying and estimating vector autoregressions using their eigensystem representation
• Linear construction of companion matrices
• Singular value decomposition of multi-companion matrices
• Pentadiagonal companion matrices
• mcompanion
• Generation Of Time Series Models With Given Spectral Properties

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• partsm

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