A gentle introduction to matrix calculus

Jan R. Magnus

Journal of Econometrics, 2024, vol. 244, issue 1

Abstract: Matrix calculus is an important tool when we wish to optimize functions involving matrices or perform sensitivity analyses. This tutorial is designed to make matrix calculus more accessible to graduate students and young researchers. It contains the theory that would suffice in most applications, many fully worked-out exercises and examples, and presents some of the ‘tacit knowledge’ that is prevalent in this field.

Keywords: Differential calculus; Multivariate; Optimization; Vec operator; Commutation matrix (search for similar items in EconPapers)
JEL-codes: C02 C60 C61 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002070

DOI: 10.1016/j.jeconom.2024.105862

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