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Matrix differential calculus with applications in statistics and econometrics

Author: Jan R Magnus; Heinz Neudecker
Publisher: Chichester : Wiley, 2002.
Series: Wiley series in probability and statistics.
Edition/Format:   Print book : English : Rev. ed., reprintedView all editions and formats
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This text is a self-contained and unified treatment of matrix differential calculus, specifically written for econometricians and statisticians. It can serve as a textbook for advanced undergraduates  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Jan R Magnus; Heinz Neudecker
ISBN: 0471986321 9780471986324 047198633X 9780471986331
OCLC Number: 249742658
Description: XVIII, 395 Seiten : Diagramme ; 23 cm.
Contents: MATRICES: BASIC PROPERTIES OF VECTORS AND MATRICES. Kronecker Products, the Vec Operator and the Moore-Penrose Inverse. Miscellaneous Matrix Results. DIFFERENTIALS: THE THEORY: MATHEMATICAL PRELIMINARIES. Differentials and Differentiability. The Second Differential. Static Optimization. DIFFERENTIALS: THE PRACTICE: SOME IMPORTANT DIFFERENTIALS. First Order Differentials and Jacobian Matrices. Second Order Differentials and Hessian Matrices. INEQUALITIES: INEQUALITIES. THE LINEAR MODEL: STATISTICAL PRELIMINARIES. The Linear Regression Model. Further Topics in the Linear Model. APPLICATIONS TO MAXIMUM LIKELIHOOD ESTIMATION: MAXIMUM LIKELIHOOD ESTIMATION. Simultaneous Equations. Topics in Psychometrics.
Series Title: Wiley series in probability and statistics.
Responsibility: Jan R. Magnus and Heinz Neudecker.
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"!the best book to learn matrix and related ideas!statisticians, econometricians, computer scientists, engineers, and psychometricians will find this extremely useful." (Journal of Statistical Read more...

 
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