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Google圖書搜尋
Matrix Differential Calculus with Applications in Statistics and Econometrics
Jan R. Magnus
Heinz Neudecker
出版
Wiley
, 1988-04-25
主題
Mathematics / Probability & Statistics / General
Mathematics / Probability & Statistics / Stochastic Processes
ISBN
0471915165
9780471915164
URL
http://books.google.com.hk/books?id=yIYpAQAAMAAJ&hl=&source=gbs_api
註釋
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.
