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A note on differentiating matrices

Author

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  • Kowal, Pawel

Abstract

This paper presents a set of rules for matrix differentiation with respect to a vector of parameters, using the flattered representation of derivatives, i.e. in form of a matrix. We also introduce a new set of Kronecker tensor products of matrices. Finally we consider a problem of differentiating matrix determinant, trace and inverse.

Suggested Citation

  • Kowal, Pawel, 2006. "A note on differentiating matrices," MPRA Paper 1239, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:1239
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    File URL: https://mpra.ub.uni-muenchen.de/1239/1/MPRA_paper_1239.pdf
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    File URL: https://mpra.ub.uni-muenchen.de/3917/1/MPRA_paper_3917.pdf
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    Cited by:

    1. Kowal, Pawel, 2007. "Higher order approximations of stochastic rational expectations models," MPRA Paper 3913, University Library of Munich, Germany.

    More about this item

    Keywords

    matrix differentiation; generalized Kronecker products;

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General

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