Matrix Differential Calculus With Applications In Statistics And Econometrics by Jan R. Magnus
With Applications in Statistics and Econometrics
A rigorous yet practical treatment of matrix differential calculus aimed at statisticians and econometricians, presenting rules and notation for derivatives and differentials of scalar, vector and matrix functions with emphasis on vectorization, Kronecker products, trace identities and matrix derivatives. It develops techniques used to derive estimators, likelihoods and asymptotic results and supplies numerous examples, proofs and reference tables to facilitate applications in linear models, multivariate analysis and hypothesis testing.
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- British
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- Original Language
- English
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