Matrix calculus has become an essential tool for quantitative methods in a large number of applications, ranging from social and behavioral sciences to econometrics. 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.
" . . . 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.
* Contains the essentials of multivariable calculus with an emphasis on the use of differentials
* Many new examples and exercises
* Fulfils the need for a unified and self-contained treatment of matrix differential calculus
* Includes new developments in this field
Part I presents a concise, yet thorough overview of matrix algebra, while the second part develops the theory of differentials. The remaining Parts III to VI combine the theory and application of matrix differential calculus providing the practitioner and researcher with both a quick review and a detailed reference.
Inhaltsverzeichnis
Preface 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
