Matrix derivatives with an application to an adaptive linear decision problem

Calculus of vector functions (26B12) General theory of partial differential operators (47F05) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)

Cited In (56)

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Professor Heinz Neudecker and matrix differential calculus
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Cochran theorems for a multivariate vector-elliptically contoured model. II
Edgeworth and saddlepoint expansions for nonlinear estimators
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Newton algorithms for analytic rotation: an implicit function approach
An implicit function approach to constrained optimization with applications to asymptotic expansions
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A new kurtosis matrix, with statistical applications
OPTCON: An algorithm for the optimal control of nonlinear stochastic models
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On the asymptotic distribution of multivariate M-estimates
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Matrix differential calculus with applications in the multivariate linear model and its diagnostics
Some new connections between matrix products for partitioned and non-partitioned matrices
Markovian trees subject to catastrophes: transient features and extinction probability
On the use of differentials in statistics
Some theoretical properties of two kurtosis matrices, with application to invariant coordinate selection
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The vec-permutation matrix, the vec operator and Kronecker products: a review
Third moment of matrix quadratic form
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An asymptotic confidence interval for the response at the stationary point of a quadratic response surface
Eigenvectors of a kurtosis matrix as interesting directions to reveal cluster structure
Matrix differential calculus with applications to simple, Hadamard, and Kronecker products
Matrix derivatives with chain rule and rules for simple, Hadamard, and Kronecker products
On multivariate skewness and kurtosis
An asymptotic minimax risk bound for estimation of a linear functional relationship
On some pattern-reduction matrices which appear in statistics

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