Two transformation matrices are introduced, L and D, which contain zero and unit elements only. If A is an arbitrary (n, n) matrix, L eliminates from vecA the supradiagonal elements of A, while D performs the inverse transformation for symmetric A. Many properties of L and D are derived, in particular in relation to Kronecker products. The usefulness of the two matrices is demonstrated in three areas of mathematical statistics and matrix algebra: maximum likelihood estimation of the multivariate normal distribution, the evaluation of Jacobians of transformations with symmetric or lower triangular matrix arguments, and the solution of matrix equations.
In this paper we bring together those properties of the Kronecker product, the vec operator, and 0-1 matrices which in our view are of interest to researchers and students in econometrics and statistics. The treatment of Kronecker products and the vec operator is fairly exhaustive; the treatment of 0–1 matrices is selective. In particular we study the “commutation” matrix K (defined implicitly by K vec A = vec A′ for any matrix A of the appropriate order), the idempotent matrix N = ½ (I + K), which plays a central role in normal distribution theory, and the “duplication” matrix D, which arises in the context of symmetry. We present an easy and elegant way (via differentials) to evaluate Jacobian matrices (first derivatives), Hessian matrices (second derivatives), and Jacobian determinants, even if symmetric matrix arguments are involved. Finally we deal with the computation of information matrices in situations where positive definite matrices are arguments of the likelihood function.
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