On The Differentiation Of A Log-Liklihood Function Using Matrix Calculus
Simple theorems based on a mathematical property of vecY/vecX provide powerful tools for obtaining matrix calculus results. By way of illustration, new results are obtained for matrix derivatives involving vecA, vechA, v(A) and vecX where X is a symmetric matrix. The analysis explains exactly how a log-likelihood function should be differentiated using matrix calculus.
Year of publication: |
2011
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Authors: | Turkington, Darrell A |
Institutions: | Department of Economics, Business School |
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