Matrix Differential Calculus with Applications in Statistics and Econometrics (Wiley Series in Probability and Statistics: Texts and References Section) [Hardcover]

Jan R. Magnus (Author), Heinz Neudecker (Author)

Book Description

ISBN-10: 0471986321 | ISBN-13: 978-0471986324 | Publication Date: March 29, 1999 | Edition: 2

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/

Editorial Reviews

Review

"…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) --This text refers to the Paperback edition.

From the Publisher

This book provides a unified treatment of matrix differential calculus, specifically written for econometricians and statisticians. Divided into six parts, the book begins with a treatment of matrix algebra, discussing the Schur, Jordan, and singular-value decompositions, the Hadamard and Kronecker products, and more. The second section is the theoretical core of the book and presents a thorough development of the theory of differentials. Practically-oriented, part three contains the rules for working with differentials and lists the differentials of important scalar, vector, and matrix functions. The fourth deals with inequalities, such as Cauchy-Schwarz's and Minkowski's, while the fifth section is devoted to applications of matrix differential calculus to the linear regression model. The book closes by detailing maximum likelihood estimation, an ideal source for demonstrating the power of the propagated techniques. Features numerous exercises. --This text refers to an out of print or unavailable edition of this title.

See all Editorial Reviews

Product Details

• Hardcover: 422 pages
• Publisher: John Wiley & Sons; 2 edition (March 29, 1999)
• Language: English
• ISBN-10: 0471986321
• ISBN-13: 978-0471986324
• Product Dimensions: 9.4 x 6.3 x 1.1 inches
• Shipping Weight: 1.6 pounds
• Average Customer Review: 4.6 out of 5 stars  See all reviews (7 customer reviews)
• Amazon Best Sellers Rank: #9,557,214 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

13 of 13 people found the following review helpful:

4.0 out of 5 stars Excellent, no-nonsense compilation of results, November 10, 1998

By 

[e-mail] (USA) - See all my reviews

This review is from: Matrix Differential Calculus with Applications in Statistics and Econometrics (Wiley Series in Probability and Statistics - Applied Probability and Statistics Section) (Hardcover)

This book is a gem, not so much for the results it contains, but for how it presents them. The authors introduce a compact notation centered on kronecker products and schur products. In addition they present a useful set of operators and identities for manipulating these objects. The result is a pleasing language for mathematical manipulation avoiding to a large extent the "debauchery of indices" that pose a problem in many investigations. This presentation makes the price of the book almost worthwhile. The review of the properties of matrices is compact and reasonably complete. The applications are straightforward and competently presented.

15 of 16 people found the following review helpful:

5.0 out of 5 stars enormous utility, November 17, 2000

By 

UNPINGCO (Los Angeles, CA) - See all my reviews

This review is from: Matrix Differential Calculus with Applications in Statistics and Econometrics, 2nd Edition (Paperback)

For some reason, in spite of its enormous utility, matrix differential calculus is oddly absent from standard courses in signal processing and control. The great strength of this text is its focus on the development of sufficient and necessary conditions for constrained/unconstrained minima/maxima. There are good examples regarding maximum likelihood estimation. There are also some useful results regarding the Kronecker product and commutator matrices. The chapter at the end covers specific topics in econometrics. The paperback edition suffers from completely hideous typesetting that is exacerbated by some of the notation. In spite of the fact that the paperback is not cheap, the pages look like they were photocopied. Maybe I just got a bad copy. I don't know if the hardback edition has the same problem.

8 of 8 people found the following review helpful:

4.0 out of 5 stars Bad typesetting reviews are not exaggerating, May 18, 2004

By 

MG (Buffalo, NY United States) - See all my reviews

This review is from: Matrix Differential Calculus with Applications in Statistics and Econometrics, 2nd Edition (Paperback)

I have read the bad reviews regarding the typesetting of this book and I thought they were exaggerating. Nevertheless, I have borrowed this book (old edition/hardcover) from the University library and I thought that buying it was worthwile.When I ordered the book I found out that the book quality was even worse than expected. The typesetting is worse than a photocopied book; I even thought that this was not an authentic copy but a cheap one from a Banana country. Nevertheless, when you open to read the book pages are coming out. The hardcover edition price -$300$- is ridiculous. I am a postoctoral fellow in engineering and I cannot afford more than $100 for a book. The $80 dollar price is not justified for that bad typesetting. This is a very helpful book for a graduate engineering student but I doubt that I will recommend it for buying. I will have to think seriously about buying another book from Wiley piblishers.