The Commutation Matrix: Some Properties and Applications
Magnus, Jan R. ; Neudecker, H.
Ann. Statist., Tome 7 (1979) no. 1, p. 381-394 / Harvested from Project Euclid
The commutation matrix $K$ is defined as a square matrix containing only zeroes and ones. Its main properties are that it transforms vecA into vecA', and that it reverses the order of a Kronecker product. An analytic expression for $K$ is given and many further properties are derived. Subsequently, these properties are applied to some problems connected with the normal distribution. The expectation is derived of $\varepsilon' A\varepsilon\cdot\varepsilon' B\varepsilon\cdot\varepsilon'C\varepsilon$, where $\varepsilon \sim N(0, V)$, and $A, B, C$ are symmetric. Further, the expectation and covariance matrix of $x \otimes y$ are found, where $x$ and $y$ are normally distributed dependent variables. Finally, the variance matrix of the (noncentral) Wishart distribution is derived.
Publié le : 1979-03-14
Classification:  Stochastic vectors,  Kronecker product,  expectations,  covariance matrices,  15A69,  62H99
@article{1176344621,
     author = {Magnus, Jan R. and Neudecker, H.},
     title = {The Commutation Matrix: Some Properties and Applications},
     journal = {Ann. Statist.},
     volume = {7},
     number = {1},
     year = {1979},
     pages = { 381-394},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176344621}
}
Magnus, Jan R.; Neudecker, H. The Commutation Matrix: Some Properties and Applications. Ann. Statist., Tome 7 (1979) no. 1, pp.  381-394. http://gdmltest.u-ga.fr/item/1176344621/