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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.
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"...deals rigorously with many of the problems that have bedevilled the subject up to the present time..."
—Stephen Pollock, Econometric Theory
"I continued to be pleasantly surprised by the variety and usefulness of its contents"
—Isabella Verdinelli, Journal of the American Statistical Association
Continuing the success of their first edition, Magnus and Neudecker present an exhaustive and self-contained revised text on matrix theory and matrix differential calculus. Matrix calculus has become an essential tool for quantitative methods in a large number of applications, ranging from social and behavioural sciences to econometrics. While the structure and successful elements of the first edition remain, this revised and updated edition contains many new examples and exercises.
"...the best book to learn matrix and related ideas...statisticians, econometricians, computer scientists, engineers, and psychometricians will find this extremely useful." (Journal of Statistical Computation and Simulation, March 2006)
"a most welcome revision" (Computational Statistics & Data Analysis, 28 August 2001)
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Book Description Wiley, 1988. Hardcover. Condition: New. Never used!. Seller Inventory # P110471915165