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On Kronecker Products, Tensor Products And Matrix Differential Calculus

  • Stephen Pollock

    ()

The algebra of the Kronecker products of matrices is recapitulated using a notation that reveals the tensor structures of the matrices. It is claimed that many of the difficulties that are encountered in working with the algebra can be alleviated by paying close attention to the indices that are concealed beneath the conventional matrix notation. The vectorisation operations and the commutation transformations that are common in multivariate statistical analysis alter the positional relationship of the matrix elements. These elements correspond to numbers that are liable to be stored in contiguous memory cells of a computer, which should remain undisturbed. It is suggested that, in the absence of an adequate index notation that enables the manipulations to be performed without disturbing the data, even the most clear-headed of computer programmers is liable to perform wholly unnecessary and time-wasting operations that shift data between memory cells.

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File URL: http://www.le.ac.uk/economics/research/repec/lec/leecon/dp11-34.pdf
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Paper provided by Department of Economics, University of Leicester in its series Discussion Papers in Economics with number 11/34.

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Date of creation: Jul 2011
Date of revision: Jul 2011
Handle: RePEc:lec:leecon:11/34
Contact details of provider: Postal: Department of Economics University of Leicester, University Road. Leicester. LE1 7RH. UK
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Web page: http://www2.le.ac.uk/departments/economics
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  1. repec:cup:cbooks:9780521537469 is not listed on IDEAS
  2. repec:cup:cbooks:9780521822893 is not listed on IDEAS
  3. Magnus, Jan R., 2010. "On the concept of matrix derivative," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2200-2206, October.
  4. Magnus, J.R. & Neudecker, H., 1979. "The commutation matrix : Some properties and applications," Other publications TiSEM d0b1e779-7795-4676-ac98-1, Tilburg University, School of Economics and Management.
  5. repec:cup:cbooks:9780521807883 is not listed on IDEAS
  6. Turkington, Darrell, 2000. "Generalised vec operators and the seemingly unrelated regression equations model with vector correlated disturbances," Journal of Econometrics, Elsevier, vol. 99(2), pages 225-253, December.
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