Matrix Differential Calculus with Applications in Statistics and Econometrics

Magnus, Jan R. and Heinz Neudecker

ISBN 10: 0471915165 / ISBN 13: 9780471915164

Editore: John Wiley & Sons, Chichester, England, 1988

Previous owner's name penned on title page; Hardcover, bibliography, indices. Part of Wiley Series and Mathematical Statistics; 8vo 8" - 9" tall; xviii + 393 pages. Codice articolo 61928

Riassunto:

This book provides a unified treatment of matrix differential calculus, specifically written for econometricians and statisticians. Divided into six parts, the book begins with a treatment of matrix algebra, discussing the Schur, Jordan, and singular-value decompositions, the Hadamard and Kronecker products, and more. The second section is the theoretical core of the book and presents a thorough development of the theory of differentials. Practically-oriented, part three contains the rules for working with differentials and lists the differentials of important scalar, vector, and matrix functions. The fourth deals with inequalities, such as Cauchy-Schwarz's and Minkowski's, while the fifth section is devoted to applications of matrix differential calculus to the linear regression model. The book closes by detailing maximum likelihood estimation, an ideal source for demonstrating the power of the propagated techniques. Features numerous exercises.

Product Description: Book by Magnus Jan R Neudecker Heinz

Dati bibliografici

Titolo: Matrix Differential Calculus with ...
Casa editrice: John Wiley & Sons, Chichester, England
Data di pubblicazione: 1988
Legatura: Hardcover
Condizione: Very Good
Condizione sovraccoperta: Very Good