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A note on the matrix Haffian.

Heinz Neudecker — 2000

Qüestiió

This note contains a transparent presentation of the matrix Haffian. A basic theorem links this matrix and the differential ofthe matrix function under investigation, viz ∇F(X) and dF(X). Frequent use is being made of matrix derivatives as developed by Magnus and Neudecker.

Estimation of the noncentrality matrix of a noncentral Wishart distribution with unit scale matrix. A matrix generalization of Leung's domination result.

Heinz Neudecker — 2004

SORT

The main aim is to estimate the noncentrality matrix of a noncentral Wishart distribution. The method used is Leung's but generalized to a matrix loss function. Parallelly Leung's scalar noncentral Wishart identity is generalized to become a matrix identity. The concept of Löwner partial ordering of symmetric matrices is used.

On best affine unbiased covariance-preserving prediction of factor scores.

Heinz Neudecker — 2004

SORT

This paper gives a generalization of results presented by ten Berge, Krijnen,Wansbeek & Shapiro. They examined procedures and results as proposed by Anderson & Rubin, McDonald, Green and Krijnen, Wansbeek & ten Berge.We shall consider the same matter, under weaker rank assumptions. We allow some moments, namely the variance Ω of the observable scores vector and that of the unique factors, Ψ, to be singular. We require T' Ψ T > 0, where T Λ T' is a Schur decomposition of Ω. As...

On two matrix derivatives by Kollo and von Rosen.

Heinz Neudecker — 2003

SORT

The article establishes relationships between the matrix derivatives of F with respect to X as introduced by von Rosen (1988), Kollo and von Rosen (2000) and the Magnus-Neudecker (1999) matrix derivative. The usual transformations apply and the Moore-Penrose inverse of the duplication matrix is used. Both X and F have the same dimension.

A note on the scalar Haffian.

Heinz Neudecker — 2000

Qüestiió

In this note a uniform transparent presentation of the scalar Haffian will be given. Some well-known results will be generalized. A link will be established between the scalar Haffian and the derivative matrix as developed by Magnus and Neudecker.

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