Umatch function

Matching of Orthogonal Matrices for Cayley transforms

This function matches an orthogonal matrix to the importance of the columns of the matrix to which it should be matched. latin1

Umatch(from, to)

Arguments

• from: Matrix: orthogonal
• to: Matrix: orthogonal

Returns

• mat: Matched matrix.

References

Boswijk, H. Peter and van der Weide, Roy (2009), Method of Moments Estimation of GO-GARCH Models, Working Paper, University of Amsterdam, Tinbergen Institute and World Bank.

Liebeck, H. and Osborne, A. (1991), The Generation of All Rational Orthogonal Matrices, The American Mathematical Monthly, 98 (2) (Feb. 1991), 131 -- 133.

Author(s)

Bernhard Pfaff

See Also

gogarch