首页|Matrix differential calculus with applications in the multivariate linear model and its diagnostics

Matrix differential calculus with applications in the multivariate linear model and its diagnostics

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  • NSTL
  • Elsevier
Matrix differential calculus is a powerful mathematical tool in multivariate analysis and related areas such as econometrics, environmetrics, geostatistics, predictive modeling, psychometrics, and statistics in general. One of the key contributions to its development was the introduction of the differential approach, which has led to a significant number of applications. In this paper, we present a study of this approach to matrix differential calculus with some of its key results along with illustrative examples. We also present new applications of this approach in the multivariate linear model: namely in efficiency comparisons, sensitivity analysis, and local influence diagnostics. (c) 2021 Elsevier Inc. All rights reserved.

HessianJacobianKantorovich inequalityLeast squares methodMatrix derivativeMaximum likelihood methodSensitivity analysisStatistical diagnosticsTIME-SERIES MODELSLOCAL INFLUENCECAUCHY-SCHWARZHADAMARDDERIVATIVESESTIMATORSSENSITIVITYPRODUCTSEIGENVECTORSINEQUALITIES

Liu, Shuangzhe、Leiva, Victor、Zhuang, Dan、Figueroa-Zuniga, Jorge I.、Ma, Tiefeng

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Univ Canberra

Pontificia Univ Catolica Valparaiso

Fujian Normal Univ

Univ Concepcion

SouthWestern Univ Finance & Econ

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2022

10.1016/j.jmva.2021.104849

Journal of Multivariate Analysis

Journal of Multivariate Analysis

SCI
ISSN：0047-259X
年,卷(期)：2022.188
  • 7
  • 106