John Wiley & Sons - Matrix Differential Calculus With Applications In Statistics And Econometrics - 3Rd Edition - 2007.pdf

Matrix Differential Calculus
with Applications in Statistics
and Econometrics
WILEY SERIES IN PROBABILITY AND STATISTICS
Established by WALTER E. SHEWHART AND SAMUEL S. WILKS
Editors: Vic t, Noel A. C. Cressie, Nicholas, I. Fisher,
Iain M. Johnstone, J. B. Kadane, David, G. Kendall, David W. Scott,
Bernard W. Silverman, Adrian F. M. Smith, Jozef L. Teugels
Editors Emeritus: Ralph A. Bradley, J. Stuart Hunter
plete list of the titles in this series appears at the end of this volume
Matrix
Differential
Calculus
with Applications
in Statistics
and Econometrics
Third Edition
JAN R. MAGNUS
CentER, Tilburg University
and
HEINZ NEUDECKER
Cesaro, Schagen
JOHN WILEY & SONS
Chichester • New York • Weinheim • Brisbane • Singapore • Toronto
Copyright
c 1988,1999 John Wiley & Sons Ltd,
Baffins Lane, Chichester,
West Sussex PO19 1UD, England
National 01243 779777
International (+44) 1243 779777
Copyright
c 1999 of the English and Russian LATEX file CentER, Tilburg University,
. Box 90153, 5000 LE Tilburg, herlands
Copyright
c 2007 of the Third Edition Jan Magnus and Heinz Neudecker. All rights reserved.
Publication data for the second (revised) edition
Library of Congress Cataloging in Publication Data
Magnus, Jan R.
Matrix differential calculus with applications in statistics and
econometrics / . Magnus and H. Neudecker — Rev. ed. p. cm.
Includes bibliographical references and index.
ISBN 0-471-98632-1 (alk. paper); ISBN 0-471-98633-X (pbk: alk. paper)
1. Matrices. 2. Differential Calculus. 3. Statistics.
4. Econometrics. I. Neudecker, Heinz. II. Title.
1999
′
434—dc21 98-53556
CIP
British Library Cataloguing in Publication Data
A catalogue record for this book is available from the British Library
ISBN 0-471-98632-1; 0-471-98633-X (pbk)
Publication data for the third edition
This is version 07/01.
Last update: 16 January 2007.
Contents
Preface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .