Matrix Differential Calculus with Applications in Statistics and Econometrics, 3rd Edition

Preface

Preface to the first edition

There has been a long‐felt need for a book that gives a self‐contained and unified treatment of matrix differential calculus, specifically written for econometricians and statisticians. The present book is meant to satisfy this need. It can serve as a textbook for advanced undergraduates and postgraduates in econometrics and as a reference book for practicing econometricians. Mathematical statisticians and psychometricians may also find something to their liking in the book.

When used as a textbook, it can provide a full‐semester course. Reasonable proficiency in basic matrix theory is assumed, especially with the use of partitioned matrices. The basics of matrix algebra, as deemed necessary for a proper understanding of the main subject of the book, are summarized in Part One, the first of the book’s six parts. The book also contains the essentials of multivariable calculus but geared to and often phrased in terms of differentials.

The sequence in which the chapters are being read is not of great consequence. It is fully conceivable that practitioners start with Part Three (Differentials: the practice) and, dependent on their predilections, carry on to Parts Five or Six, which deal with applications. Those who want a full understanding of the underlying theory should read the whole book, although even then they could go through the necessary matrix algebra only when the specific need arises.

Matrix differential calculus as presented in this ...