A derivation of the Hessian of the (concentrated) likelihood function of the factor model employing the Schur product

H Neudecker

No 293042, University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business

Abstract: An expression is derived for the Hessian of the (concentrated) likelihood function of the factor model, employing matrix differential calculus in conjunction with the Schur product. The results of Clarke are achieved by an alternative route. (A short version of the paper appeared in the British Journal of math. statist. Psychology, 1975, p. 152-156).

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 8
Date: 1976
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Persistent link: https://EconPapers.repec.org/RePEc:ags:amstas:293042

DOI: 10.22004/ag.econ.293042

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