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Professor Heinz Neudecker and matrix differential calculus
Univ Canberra, Australia.
Dortmund Univ Technol, Germany.
Univ Tartu, Estonia.
Linköping University, Department of Mathematics, Applied Mathematics. Linköping University, Faculty of Science & Engineering. Swedish Univ Agr Sci, Sweden.
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2024 (English)In: Statistical papers, ISSN 0932-5026, E-ISSN 1613-9798, Vol. 65, p. 2605-2639Article in journal (Refereed) Published
Abstract [en]

The late Professor Heinz Neudecker (1933-2017) made significant contributions to the development of matrix differential calculus and its applications to econometrics, psychometrics, statistics, and other areas. In this paper, we present an insightful overview of matrix-oriented findings and their consequential implications in statistics, drawn from a careful selection of works either authored by Professor Neudecker himself or closely aligned with his scientific pursuits. The topics covered include matrix derivatives, vectorisation operators, special matrices, matrix products, inequalities, generalised inverses, moments and asymptotics, and efficiency comparisons within the realm of multivariate linear modelling. Based on the contributions of Professor Neudecker, several results related to matrix derivatives, statistical moments and the multivariate linear model, which can literally be considered to be his top three areas of research enthusiasm, are particularly included.

Place, publisher, year, edition, pages
SPRINGER , 2024. Vol. 65, p. 2605-2639
Keywords [en]
Matrix differential calculus; Random matrix; Statistical moment; Asymptotic distribution; Efficiency comparison; Multivariate linear model
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:liu:diva-198482DOI: 10.1007/s00362-023-01499-wISI: 001077306400001OAI: oai:DiVA.org:liu-198482DiVA, id: diva2:1805077
Note

Funding Agencies|Finally, we would like to pay tribute to the late Drs. Risto Heijmans, Wolfgang Polasek, and Haruo Yanai, whose dedication to their colleagues and students continues to inspire us. Though they are no longer with us, their legacy lives on.

Available from: 2023-10-16 Created: 2023-10-16 Last updated: 2024-10-08Bibliographically approved

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von Rosen, Dietrich

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CiteExportLink to record
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Citation style
  • apa
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