Matrix differential calculus with applications to simple, hadamard, and kronecker products
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Matrix differential calculus with applications in the multivariate linear model and its diagnostics
2022, Journal of Multivariate AnalysisCitation Excerpt :He found the most convenient representation of the Fréchet derivative so that the chain rule works in the same way as in the univariate case. The studies conducted by Kollo [28], Kollo and Neudecker [29, 30, 31], Kollo and von Rosen [32], Magnus [57, 59], Magnus and Neudecker [60, 61, 62, 63], Nel [72], Pollock [83, 85], and von Rosen [100] empowered the differential approach by inspiring statistical applications involving special matrices, matrix products, eigenvalues and eigenvectors, asymptotic distributions, as well as clarifying the concept of matrix derivatives. Since the late 1980s, further results and applications of matrix calculus have been developed in multivariate statistics and related areas.
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