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The derivative of an orthogonal matrix of eigenvectors of a symmetric matrix

✍ Scribed by Tônu Kollo; Heinz Neudecker

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
136 KB
Volume
264
Category
Article
ISSN
0024-3795

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✦ Synopsis

The authors supply the derivative of an orthogonal matrix of eigenvectors of a real symmetric matrix. To illustrate the applicability of their result they consider a real symmetric random matrix for which a more or less standard convergence in distribution is assumed to hold. The well-known delta method is then used to get the asymptotic distribution of the orthogonal eigenmatrix of the random matrix.

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