Matrix algebra for higher order moments

DOI10.1016/J.LAA.2005.02.040zbMATH Open1080.62030OpenAlexW2038395753MaRDI QIDQ2575702FDOQ2575702

Erik Meijer

Publication date: 6 December 2005

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

Full work available at URL: https://doi.org/10.1016/j.laa.2005.02.040

zbMATH Keywords

Structural equation modelsHeteroskedasticityCommutation matrixDuplication matrixKenny-Judd model

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Factor analysis and principal components; correspondence analysis (62H25) Basic linear algebra (15A99) Algebraic systems of matrices (15A30)

Cites Work

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• Triadic distance models: axiomatization and least squares representation
• The commutation matrix: Some properties and applications
• Identification and estimation of polynomial errors-in-variables models
• Higher moment estimators for linear regression models with errors in the variables
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• Factor analysis with heteroscedastic errors
• Factor analysis for non-normal variables
• Quadratic prediction of factor scores
• Measurement error and latent variables in econometrics
• Minimal moments and cumulants of symmetric matrices: An application to the Wishart distribution
• Some results on commutation matrices, with statistical applications

Cited In (9)

• Efficient recursive algorithms for functionals based on higher order derivatives of the multivariate Gaussian density
• Higher order moments of random vectors using matrix derivatives
• Concise formulae for the cumulant matrices of a random vector
• Identification of DSGE models -- the effect of higher-order approximation and pruning
• Spectral analysis of the fourth moment matrix
• Expectation identities from integration by parts for univariate continuous random variables with applications to high-order moments
• Multivariate plug-in bandwidth selection with unconstrained pilot bandwidth matrices
• Moment testing for interaction terms in structural equation modeling
• On multivariate skewness and kurtosis

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