Matrix Differential Calculus with Applications in Statistics and Econometrics

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Jan R. Magnus (Tilburg University, The Netherlands) Heinz Neudecker (Schagen, The Netherlands)

Matrix Differential Calculus with Applications in Statistics and Econometrics

Jan R. Magnus (Tilburg University, The Netherlands), Heinz Neudecker (Schagen, The Netherlands)

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English

John Wiley & Sons Inc
18 February 1999

Econometrics; Algebra; Differential calculus & equations; Probability & statistics; Applied mathematics

Series: Wiley Series in Probability and Statistics: Texts and References Section

Matrix 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.
* 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. Visit our web page http://www.wiley.com/

By: Jan R. Magnus (Tilburg University The Netherlands), Heinz Neudecker (Schagen, The Netherlands)
Imprint: John Wiley & Sons Inc
Country of Publication: United States
Edition: 2nd edition
Dimensions: Height: 211mm, Width: 152mm, Spine: 27mm
Weight: 680g
ISBN: 9780471986331
ISBN 10: 047198633X
Series: Wiley Series in Probability and Statistics: Texts and References Section
Pages: 432
Publication Date: 18 February 1999
Audience: College/higher education , Professional and scholarly , Professional & Vocational , A / AS level , Further / Higher Education
Format: Paperback
Publisher's Status: Active

Jan R. Magnus is the author of Matrix Differential Calculus with Applications in Statistics and Econometrics, 2nd Edition, published by Wiley. Heinz Neudecker is the author of Matrix Differential Calculus with Applications in Statistics and Econometrics, 2nd Edition, published by Wiley.

Reviews for Matrix Differential Calculus with Applications in Statistics and Econometrics

"""...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)"