Victorrustless969

matrix-calculus

by Victorrustless969

Matrix calculus tutorial and reference based on Jan R. Magnus' "A gentle introduction to matrix calculus". Provides tools, theorems, and worked examples for matrix differential calculus including trace, Kronecker product, vec operator, commutation matrix, duplication matrix, first and second derivatives, optimization, and applications in statistics and econometrics. Use when users ask about matrix derivatives, matrix differential calculus, optimization with matrices, Kronecker products, vec operators, or need help solving matrix calculus problems.