On The Differentiation Of A Log-Liklihood Function Using Matrix Calculus

Darrell Turkington
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Darrell Turkington: UWA Business School, The University of Western Australia

No 11-06, Economics Discussion / Working Papers from The University of Western Australia, Department of Economics

Abstract: 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.

Pages: 21 pages
Date: 2011
New Economics Papers: this item is included in nep-ecm
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