Premium
A DERIVATION OF THE HESSIAN OF THE (CONCENTRATED) LIKELIHOOD FUNCTION OF THE FACTOR MODEL EMPLOYING THE SCHUR PRODUCT
Author(s) -
Neudecker H.
Publication year - 1975
Publication title -
british journal of mathematical and statistical psychology
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 3.157
H-Index - 51
eISSN - 2044-8317
pISSN - 0007-1102
DOI - 10.1111/j.2044-8317.1975.tb00559.x
Subject(s) - hessian matrix , mathematics , product (mathematics) , function (biology) , factor (programming language) , hessian equation , differential (mechanical device) , matrix (chemical analysis) , expression (computer science) , mathematical analysis , computer science , differential equation , geometry , physics , first order partial differential equation , evolutionary biology , biology , programming language , thermodynamics , materials science , composite material
An expression is derived for the Hessian of the (concentrated) likelihood function of the factor model, employing matrix differential calculus in conjunction with the Schur product. Hence the results of Clarke (1970) are achieved by an alternative route.