Vec and vech operators for matrices, with some uses in jacobians and multivariate statistics 论文

摘要

Abstract The vec of a matrix X stacks columns of X one under another in a single column; the vech of a square matrix X does the same thing but starting each column at its diagonal element. The Jacobian of a one‐to‐one transformation X → Y is then ∣∣∂(vecX)/∂(vecY) ∣∣ when X and Y each have functionally independent elements; it is ∣∣ ∂(vechX)/∂(vechY) ∣∣ when X and Y are symmetric; and there is a general form for when X and Y are other patterned matrices. Kronecker product properties of vec(ABC) permit easy evaluation of this determinant in many cases. The vec and vech operators are also very convenient in developing results in multivariate statistics.