Dear all,
I would like to make the following multiplication:
e_t ' * R_t * e_t
where e_t is a T * k matrix and R is an array of T matrices whose t_th
element is a k*k matrix.
For instance when T=3 and k=2:
e_t could be:
1.0000 1.0000
2.0000 2.0000
3.0000 3.0000
and R_t:
[0] =
1.0000 0.50000
0.50000 1.0000
[1] =
1.0000 0.50000
0.50000 1.0000
[2] =
1.0000 0.50000
0.50000 1.0000
Is it possible to avoid the use of a loop to compute e_t ' * R_t * e_t ?
Any hint would be appreciated.
Regards,
Sébastien
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