On two matrix derivatives by Kollo and von Rosen

• Autores: Heinz Neudecker
• Localización: Sort: Statistics and Operations Research Transactions, ISSN 1696-2281, Vol. 27, Nº. 2, 2003, págs. 153-164
• Idioma: inglés
• Títulos paralelos:
  • Sobre dos derivadas matriciales introducidas por Kollo y von Rosen.
• Enlaces
  • Texto completo (pdf)
• Resumen

  • The article establishes relationships between the matrix derivatives of F with respect to X as introduced by von Rosen (1988), Kollo and von Rosen (2000) and the Magnus-Neudecker (1999) matrix derivative. The usual transformations apply and the Moore-Penrose inverse of the duplication matrix is used. Both X and F have the same dimension.

• Referencias bibliográficas
  • Ghazal, G. A. and Neudecker, H. (2000). On second-order and fourth-order moments of jointly distributed random matrices: a survey. Linear...
  • Kollo, T. and von Rosen, D. (2000). Distribution and density approximation of the covariance matrix in the growth curve model. Statistics,...
  • Magnus, J. R. and Neudecker, H. (1980). The elimination matrix: some lemmas and applications. SIAM Journal on Algebraic and Discrete Methods,...
  • Magnus, J. R. and Neudecker, H. (1999). Matrix Differential Calculus with Applications in Statistics and Econometrics, revised edition. John...
  • Neudecker, H. (2000). On expected values of fourth-degree matrix products of a multinormal matrix variate. New Trends in Probability and Statistics....
  • Neudecker, H. and Wansbeek, T. (1983). Some results on commutation matrices with statistical applications. Canadian Journal of Statistics,...
  • von Rosen, D. (1988). Moments for the inverted Wishart distribution. Scandinavian Journal of Statistics, 15, 97-109.