Convert2JordanForm {MultiATSM} | R Documentation |
Convert a generic matrix to its Jordan form
Description
Convert a generic matrix to its Jordan form
Usage
Convert2JordanForm(K1XQ)
Arguments
K1XQ |
squared matrix in non-Jordan form |
Details
this Jordan matrix form handles real, complex and repeated eigenvalues.
Value
squared matrix in Jordam form
References
This function is based on the "Convert2JordanForm" function by Le and Singleton (2018).
"A Small Package of Matlab Routines for the Estimation of Some Term Structure Models."
(Euro Area Business Cycle Network Training School - Term Structure Modelling).
Available at: https://cepr.org/40029
[Package MultiATSM version 1.3.1 Index]