Description
Book SynopsisMatrix Differential Calculus With Applications in Statistics and Econometrics Revised Edition Jan R. Magnus, CentER, Tilburg University, The Netherlands and Heinz Neudecker, Cesaro, Schagen, The Netherlands .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.
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Trade Review"...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)
Table of ContentsPreface xv
Preface to the first revised printing xvii
Preface to the second revised printing xviii
Part One- Matrices
Part Two- Differentials: the theory
Part Three- Differentials: the practice
Part Four- Inequalities
Part Five- The linear model
Part Six- Applications to maximum likelihood estimation
Bibliography 379
Index of Symbols 387
Subject Index 390
