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Title: GENERALIZED VECTORIZATION, CROSS-PRODUCTS, AND MATRIX CALCULUS
By: Darrell A. Turkington
Format: Paperback

List price: £42.00
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ISBN 10: 1107448727
ISBN 13: 9781107448728
Availability: Usually dispatched within 1-3 weeks.
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Publisher: CAMBRIDGE UNIVERSITY PRESS
Pub. date: 14 May, 2014
Pages: 280
Description: This book studies the mathematics behind matrix calculus and the applications of matrix calculus in statistics and econometrics.
Synopsis: This book presents the reader with new operators and matrices that arise in the area of matrix calculus. The properties of these mathematical concepts are investigated and linked with zero-one matrices such as the commutation matrix. Elimination and duplication matrices are revisited and partitioned into submatrices. Studying the properties of these submatrices facilitates achieving new results for the original matrices themselves. Different concepts of matrix derivatives are presented and transformation principles linking these concepts are obtained. One of these concepts is used to derive new matrix calculus results, some involving the new operators and others the derivatives of the operators themselves. The last chapter contains applications of matrix calculus, including optimization, differentiation of log-likelihood functions, iterative interpretations of maximum likelihood estimators and a Lagrangian multiplier test for endogeneity.
Illustrations: 4 tables
Publication: UK
Imprint: Cambridge University Press
Returns: Returnable
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