Matrix Differential Calculus With Applications In Statistics And Econometrics

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Publication description

A brand new, fully updated edition of a popular classical on matrix differential calculus through applications in statistics and also econometrics

This exhaustive, self-had book on matrix concept and also matrix differential calculus gives a therapy of matrix calculus based on differentials and also shows how simple it is to usage this theory as soon as you have mastered the method. Jan Magnus, that, together with the late Heinz Neudecker, pioneered the theory, establishes it further in this new edition and also gives many type of examples alengthy the means to assistance it.

Matrix calculus has become a critical tool for quantitative methods in a huge variety of applications, varying from social and also behavioral scientific researches to econometrics. It is still relevant and supplied this particular day in a large array of subjects such as the bioscientific researches and also psychology. Matrix Differential Calculus with Applications in Statistics and Econometrics, Third Edition includes every one of the essentials of multivariable calculus through an emphasis on the usage of differentials. It starts by presenting a concise, yet thorough overwatch of matrix algebra, then goes on to construct the theory of differentials. The rest of the message combines the concept and also application of matrix differential calculus, giving the practitioner and researcher via both a quick evaluation and a in-depth recommendation.

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Fulfills the require for an updated and unified therapy of matrix differential calculusContains many kind of brand-new examples and exercises based upon questions asked of the writer over the yearsCovers new developments in area and features new applicationsWritten by a leading expert and also pioneer of the theoryPart of the Wiley Series in Probability and Statistics 

Matrix Differential Calculus With Applications in Statistics and Econometrics Third Edition is a suitable message for graduate students and academics studying the topic, and also for postgraduates and experts working in bioscientific researches and psychology.


Table of contents

Part One: Matrices Chapter 1: Basic properties of vectors and matrices Chapter 2: Kronecker products, vec operator, and also Moore‐Penincreased inverse Chapter 3: Miscellaneous matrix outcomes Part Two: Differentials: the concept Chapter 4: Mathematical preliminaries Chapter 5: Differentials and also differenticapacity Chapter 6: The second differential Chapter 7: Static optimization Part Three: Differentials: the exercise Chapter 8: Some necessary differentials Chapter 9: First‐order differentials and also Jacobian matrices Chapter 10: Second‐order differentials and Hessian matrices Part Four: Inecharacteristics Chapter 11: Inecharacteristics Part Five: The linear model Chapter 12: Statistical preliminaries Chapter 13: The linear regression version Chapter 14: Additional topics in the straight model Part Six: Applications to maximum likelihood estimation Chapter 15: Maximum likelihood estimation Chapter 16: Simultaneous equations Chapter 17: Topics in psychometrics Part Seven: Summary Chapter 18: Matrix calculus: the essentials

Product information

Title: Matrix Differential Calculus via Applications in Statistics and Econometrics, 3rd Edition Author(s): Jan R. Magnus, Heinz Neudecker Release date: March 2019 Publisher(s): Wiley ISBN: 9781119541202

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