A note on differentiating matrices
AbstractThis paper presents a set of rules for matrix differentiation with respect to a vector of parameters, using the flattered representation of derivatives, i.e. in form of a matrix. We also introduce a new set of Kronecker tensor products of matrices. Finally we consider a problem of differentiating matrix determinant, trace and inverse.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 1239.
Date of creation: 21 Dec 2006
Date of revision:
matrix differentiation; generalized Kronecker products;
Find related papers by JEL classification:
- C00 - Mathematical and Quantitative Methods - - General - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-14 (All new papers)
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- Kowal, Pawel, 2007. "Higher order approximations of stochastic rational expectations models," MPRA Paper 3913, University Library of Munich, Germany.
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