Convert2JordanForm function

Convert a generic matrix to its Jordan form

Convert2JordanForm(K1XQ)

Arguments

• K1XQ: squared matrix in non-Jordan form

Returns

squared matrix in Jordam form

Details

this Jordan matrix form handles real, complex and repeated eigenvalues.

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