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st: Generalized Singular Value Decomposition (GSVD) in Mata


From   "Lorenz Kueng" <kueng@calmail.berkeley.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Generalized Singular Value Decomposition (GSVD) in Mata
Date   Mon, 8 Aug 2011 12:57:19 -0700

Hi,

Is there a Mata command that computes the generalized singular value
decomposition of two matrices, equivalent to the cgsvd command in Matlab? Or
is there an easy way to build such a function? I searched the list but
haven't found anything yet.

I'm trying to calculate the corner of the L-curve of a higher-order Tikhonov
regularization problem.

Any help is much appreciated.

Thanks,
Lorenz

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