Symbolic Matrix Derivatives
Dwyer, Paul S. ; Macphail, M. S.
Ann. Math. Statist., Tome 19 (1948) no. 4, p. 517-534 / Harvested from Project Euclid
Let $X$ be the matrix $\lbrack x_{mn}\rbrack, t$ a scalar, and let $\partial X/\partial t, \partial t/\partial X$ denote the matrices $\lbrack\partial x_{mn}/\partial t\rbrack, \lbrack\partial t/\partial x_{mn}\rbrack$ respectively. Let $Y = \lbrack y_{pq}\rbrack$ be any matrix product involving $X, X'$ and independent matrices, for example $Y = AXBX'C$. Consider the matrix derivatives $\partial Y/\partial x_{mn}, \partial y_{pq}/\partial X$. Our purpose is to devise a systematic method for calculating these derivatives. Thus if $Y = AX$, we find that $\partial Y/\partial x_{mn} = AJ_{mn}, \partial y_{pq}/\partial X = A'K_{pq}$, where $J_{mn}$ is a matrix of the same dimensions as $X$, with all elements zero except for a unit in the $m$-th row and $n$-th column, and $K_{pq}$ is similarly defined with respect to $Y$. We consider also the derivatives of sums, differences, powers, the inverse matrix and the function of a function, thus setting up a matrix analogue of elementary differential calculus. This is designed for application to statistics, and gives a concise and suggestive method for treating such topics as multiple regression and canonical correlation.
Publié le : 1948-12-14
Classification: 
@article{1177730148,
     author = {Dwyer, Paul S. and Macphail, M. S.},
     title = {Symbolic Matrix Derivatives},
     journal = {Ann. Math. Statist.},
     volume = {19},
     number = {4},
     year = {1948},
     pages = { 517-534},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177730148}
}
Dwyer, Paul S.; Macphail, M. S. Symbolic Matrix Derivatives. Ann. Math. Statist., Tome 19 (1948) no. 4, pp.  517-534. http://gdmltest.u-ga.fr/item/1177730148/