Singular random matrix decompositions: Jacobians

Abstract

For a singular random matrix X, we find the Jacobians associated to the following decompositions: QR, Polar, Singular Value (SVD), L′U, L′DM and modified QR (QDR). Similarly, for the cross-product matrix S=X′X we find the Jacobians of the Spectral, Cholesky's, L′DL and symmetric nonnegative definite square root decompositions.