Mathematics∗

Marian Vavra
e-mail: marian.vavra@gmail.com
September 2007

Contents
1 Matrix algebra 2
1.1 Introduction to matrix algebra . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
1.2 Trace . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.3 Rank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.4 Determinant . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.5 Inverse . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
1.6 Eigenvalues . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.7 Quadratic forms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.8 Orthogonality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.9 Special matrices . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.10 Special operators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.11 VEC and VECH operators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
1.12 Matrix decomposition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
1.13 Matrix differentiation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12

∗
Lecture notes are intended for teaching porposes only.

1
1 Matrix algebra
1.1 Introduction to matrix algebra
Definition 1.1 (Matrix): A matrix is an arranged array of (real) numbers. 

More generally,  
a11 . . . a1n
A = (aij ) =  ... .. .. 

. . 
amn . . . amn
is a matrix of dimension (m × n), that means m rows and n columns. Numbers of matrix aij are
called elements or components of matrix A. We assume implicitly that all elements of any matrix
aij ∈ R, unless otherwise stated. Following given rules of matrix algebra all matrices are noted by
capital letters (e.g. Am×n or simply A), and vectors are denoted by lower case letters (e.g. bm×1
or simply b). If not otherwise noted, all vectors are assumed to be column vectors.

A matrix of a dimension (n × n) is called a square matrix. A matrix of dimension (m × n),

where m 6= n is called a rectangular matrix. A square matrix of dimension n with zeros off the
main diagonal is denoted a diagonal matrix, see matrix B below. If all the diagonal elements
of a diagonal matrix are equal to unity, it is an identity matrix denoted as In , see below. A
column vector consisting of all 1 is called a unit vector and denoted as 1, again see below. A
square matrix with non-zero elements on and out of the main diagonal is sometimes called a
non-diagonal matrix.
     
b11 0 . . . 0 1 0 ... 0 1
 0 b22 . . . 0  0 1 . . . 0 1
Bn×n =  .. ..  , In =  .. .. . . ..  , 1 =  .. 
     
.. . .
 . . . .  . . . . .
0 0 . . . bnn 0 0 ... 1 1

A square matrix with all elements above (bellow) the main diagonal being zero is called upper
(lower) triangular matrix. A transpose of matrix A = (aij ) of dimension (m × n) is a matrix of
dimension (n×m) denotes as A0 = (aji ). The matrix A is said to be symmetric matrix if A = A0 .

Rule 1.1 (Matrix operations): Let’s assume suitable matrices A, B, C, then it holds:
• A+B=B+A
• A(B + C) = AB + AC
• AB 6= BA in general
• AI = IA = A
• (AB)0 = B0 A0
• (A + B)0 = A0 + B0
• AA0 = A0 A for symmetric matrices


2
1.2 Trace
Definition 1.2 (Trace): The trace of a square (n×n) matrix A is the sum of its diagonal elements:
tr(A) = a11 + · · · + ann .


Rule 1.2 (Trace operations): Let’s assume matrices An×n , Bn×n , Cm×n , Dn×m , and λ1 , . . . , λn
be eigenvalues of matrix A
• tr(A + B) = tr(A) + tr(B)
• tr(A) = tr(A0 )
• tr(CD) = tr(DC)
• tr(A) = λ1 + · · · + λn where λi are eigenvalues of a matrix A


1.3 Rank
Definition 1.3 (Rank): Rank is characterized as a maximum number of linearly independent rows
or columns in a given matrix. 

This feature is very often used in the solution of system of linear equations, see example below.

Rule 1.3 (Rank operations): Let’s assume matrices A of the dimensions (m × n):
• rk(A) ≤ min (m, n)
• rk(A) = rk(A0 )
• rk(A0 A) = rk(AA0 ) = rk(A)
• rk(AB) = rk(A) if B is matrix of dimension (n × n)
• rk(AB) ≤ min (rk(A), rk(B)) if B is matrix of dimension (n × r)
• rk(C) = n if matrix C has a dimension (n × n) and holds that det (C) 6= 0


Example 1.1 (Solution of linear equations): Consider a system of m simultaneous equations

in n unknowns:
a11 x1 + a12 x2 + · · · + a1n xn = b1
..
.
am1 x1 + am2 x2 + · · · + amn xn = bm

The system of equations can be simply written into the matrix form: Ax = b, where A is an
(m × n). Let’s define a new matrix Ab , called augmented, which is a matrix containing original
matrix A and vector b. It is worth noting that rk(Ab ) ≤ rk(A) + 1. Using the rank, we can define
the following results for solution of the system of linear equations:
3
 • rk(A) = rk(Ab ) = n =⇒ a system has a exactly 1 solution
• rk(A) = rk(Ab ) = k < n =⇒ a system has ∞ number of solutions depending on the values
of n − k variables
• rk(A) 6= rk(Ab ) =⇒ a system has no solution


1.4 Determinant
Determinants are mathematical objects that are very useful in the analysis and solution of systems
of linear equations. The interpretation is that absolute value of the determinant1 gives the area
of the parallelogram (for matrix of order (2 × 2)), or the volume of the parallelepiped spanned
by those vectors (for matrix of order (n × n), where n > 2), see example below. Determinants
are defined only for square matrices. If the determinant of a matrix is 0, the matrix is said to be
singular, and if the determinant is 1, the matrix is said to be unimodular. The determinant of
a general (n × n) matrix A is defined as:
n
X
det (A) = aij Cij for some i ∈ {1, . . . , n}
j=1
n
X
= aij Cij for some j ∈ {1, . . . , n}
i=1

where Cij is a cofactor of aij , which is adjusted minor: Cij = (−1)i+j Mij .

Example 1.2 (Interpretation of determinants): Find the area of the triangle ABC having ver-
tices A(1, 2), B(−3, 4), C(2, 4). Since the area of the the triangle ABC is half of the area of the par-
allelogram ABCD, the area of the triangle ABC is half of the determinant of the two vectors form-
ing the parallelogram. The two vectors forming the parallelogram are u = AB = (−3 − 1, 4 − 2) =
(−4, 2) and v = AC = (2 − 1, 4 − 2) = (1,  2). Hence,
 the areaof ABC = (1/2) area of the
 u   −4 2 
 = | − 10|/2 = 5. 
parallelogram ABC = (1/2)| det E| = (1/2) det  = (1/2) det
v   1 2 

Rule 1.4 (Determinant operations): Let’s assume matrices A, B of the dimension (n × n) and
c is a scalar:
• det (In ) = 1
• det (A) = a11 · · · ann if matrix A is diagonal, lower or upper triangular
• det (A) = 0 if some rows and/or columns are linearly dependent
• det (cA) = cn det (A)
• det (A) = det (A0 )
• det (A + B) 6= det (A) + det (B) in general
• det (AB) = det (A) det (B)


4
 Figure 1: Interpretation of the determinant

(a) Area of a parallelogram (b) Volume of a parallelepiped

There are used some special determinants in the mathematical literature, for instance for checking
the definiteness of particular matrix or quadratic form. They are called principal minors and
leading principal minors, denoted as ∆k and Dk . The leading principal minors for the following
(n × n) matrix:  
a11 . . . a1n
A = (aij ) =  ... ..  ,

. 
ann . . . ann
are calculated as:
 
  a11 a12 a13 a14 

 a11 . . . a1n 

  a11 a12 a13  
a a12  a a22 a23 a24 

 .. .. 

D1 = |a11 |, D2 =  11 , D3 = a21 a22 a23  , D4 =  21
 
, . . . , D =
 . . 
n
 
a21 a22 a31 a32 a33 a34 
 
a21 a22 a33  an1 . . . ann 
a41 a42 a43 a44 
The principal minors are various combinations of determinants of order k, k = 1, . . . , n, generated
from A:
     
(1) (2) (n) (1)
a11 a12  (2)
a11 a13  (3)
a22 a23 
∆1 = |a11 |, ∆1 = |a22 |, . . . , ∆1 = |ann |, ∆2 =   , ∆2 = 
a31 a33  , ∆2 = a32 a33  ,
  
a21 a22 
 
  a11 a12 a13 a14 

 a11 . . . a1n 

a11 a12 a13  
a a22 a23 a24 
 
=  ... .. 
(1) (1)
=  21
 
. . . , ∆3 = a21 a22 a23  , . . . , ∆4 ,..., ∆(1)

n . 
a21 a22 a33  a31 a32 a33 a34  
an1 . . . ann 
a41 a42 a43 a44 
An arbitrary leading principal minor of order k is calculated as a determinant using the first
(leading) rows and columns of the particular square matrix. On the other hand, an arbitrary
principal minor of order k is obtained as determinant of the square matrix after deleting all but k
rows and columns with the same numbers.

1.5 Inverse
Definition 1.4 (Inverse matrix): Let’s define a (n × n) square matrix A invertible (regular,
nonsingular) matrix if there exists a unique matrix B of the same dimension such that: AB = In .
Then, a matrix B is called an inverse matrix of A. 

1
We assume that ∀i,j aij ∈ R

5
The matrix B is called the inverse matrix of the matrix A and denoted as A−1 . In practice, an
inverse matrix is calculated using determinant and an adjoint matrix A∗ , which is a transposed
matrix of cofactors:
A−1 = det (A)−1 A∗ .
Rule 1.5 (Inverse operations): Let’s assume matrices A, B of the dimension (n × n) and c is
a scalar:
• (A0 )−1 = (A−1 )0
• (AB)−1 = B−1 A−1
• (cA)−1 = (1/c)A−1
• I−1
n = In

• if A is diagonal matrix, then A−1 is also diagonal matrix with diagonal elements 1/aii

Let A be a (m × n) matrix. Any matrix satisfying ABA = A is a generalized inverse of matrix

A. However, a generalized inverse is not obviously unique. A (n × m) matrix B is called Moore-
Penrose inverze of matrix A if the following conditions are met. The Moore-penrose inverse
matrix is denoted A+ .

Theorem 1.1 (Generalized inverse operations): Let’s assume matrices A, B of the dimensions
(m × n) and (n × m):
• ABA = A
• BAB = B
• (AB)0 = AB
• (BA)0 = BA

1.6 Eigenvalues
Definition 1.5 (Eigenvalues): The eigenvalues (characteristic values, characteristic roots) of an
(m × m) matrix A are roots of the polynomial in λ given by:

det (A − λIm ) = 0.

Eigenvector (characteristic vector) is a non-trivial vector v satisfying the condition: (A−λIm )v = 0

with respect to relevant eigenvalue λ. Eigenvalues can be real and/or complex numbers. Moreover,
the eigenvalues are very often used in the calculating of powers of square matrices: Ax = Λx =⇒
An x = Λn x, where Λ is a diagonal matrix consisting of all eigenvalues.

Rule 1.6 (Eigenvalues properties): There are some basic properties of eigenvalues:

6
 • if A is symmetric, then ∀i λi ∈ R
• the eigenvalues of the diagonal matrix, upper and lower triangular matrix are its diagonal
elements
• matrix of (m × m) dimension has at most m eigenvalues
• if λ1 , . . . , λm are eigenvalues of particular matrix A, then the determinant of matrix is defined
as: det (A) = λ1 · · · λm


1.7 Quadratic forms

In many applications of economics (in optimization) we can come together with the quadratic
forms defined as:
n X
X n
Q(x) = Q(x1 , . . . , xn ) = aij xi xj ,
i=1 j=1

= a11 x211 + · · · + a1n x1 xn + · · · + an1 xn x1 + · · · + ann x2nn ,

0
= x Ax,

where A = (aij ) is a (n×n) matrix of constants and x = (x1 , . . . , xn )0 is a (n×1) vector. Moreover,
if aij = aji , Q(x) is called symmetric quadratic form.

Example 1.3 (Quadratic form): Let assume the following quadratic form:

Q(x) = 3x21 + 6x1 x3 + x22 − 4x2 x3 + 8x23 ,

which can be written in matrix form as Q(x) = x0 Ax, where both components are defined as:
   
x1 3 0 3
x3×1 = x2  , A3×3 = 0 1 −2
x3 3 −2 8

We are often interested in some properties of Q(x). One of them is the definiteness, the property
ensuring that Q(x) has the same sign for all x.

Definition 1.6 (Definiteness of the quadratic form): A quadratic form Q(x) = x0 Ax, as well
as associated matrix A, is said to be:
• PD iff Q(x) > 0
• PSD iff Q(x) ≥ 0
• ND iff Q(x) < 0
• NSD iff Q(x) ≤ 0

7
 • IND iff Q(x) > 0 and Q(y) < 0

for all x, y 6= 0. 

Theorem 1.2 (Definiteness of the quadratic form): A quadratic form Q(x) = x0 Ax, as well
as associated matrix A, is said to be:
• PD ⇐⇒ Dk > 0 for k = 1, . . . , n
• PSD ⇐⇒ ∆k ≥ 0 for k = 1, . . . , n
• ND ⇐⇒ (−1)k Dk > 0 for k = 1, . . . , n
• NSD ⇐⇒ (−1)k ∆k ≥ 0 for k = 1, . . . , n

Theorem 1.3 (Definiteness of the quadratic form): Let Q(x) = x0 Ax be a quadratic form,
where matrix A is symmetric matrix associated with the real eigenvalues λ = (λ1 , . . . , λn )0 . Then:
• Q is PD ⇐⇒ ∀i λi > 0
• Q is PSD ⇐⇒ ∀i λi ≥ 0
• Q is ND ⇐⇒ ∀i λi < 0
• Q is NSD ⇐⇒ ∀i λi ≤ 0
• Q is IND ⇐⇒ ∃i λi > 0 and ∃j λj < 0

1.8 Orthogonality
Definition 1.7 (Orthogonal vectors): Two (n × 1) vectors x and y are said to be orthogonal
if it holds that: x0 y = y0 x = 0. 

Definition 1.8 (Orthonormal vectors): Vectors x and y are called orthonormal if they are
orthogonal with unit length defined by a standard norm: kzk = 1. 

A matrix A is said to be orthogonal if it holds that: P0 = P−1 or equivalently P0 P = PP0 = I.

It means that vectors and columns of the matrix A are orthonormal vectors.

1.9 Special matrices

There exists many special matrices used in mathematics. There are only some of them. An
(m × m) matrix A is idempotent if it holds AA = A2 = A. Trivial examples are matrices A = I
or A = 0. An (m × m) matrix A is periodic if it holds Ak+1 = A for k > 2. An (m × m) matrix
A is nilpotent if there exists a positive integer i such that Ai = 0. An (m × m) matrix In is
called unit if for all i, j iij = 1. An (m × m) matrix B is unipotent if A2 = In .

Rule 1.7 (Special matrix operations): Let assume (m × m) matrix A

8
 • if matrix A is idempotent, then also matrix I − A is idempotent
• if matrix A is idempotent, then all its eigenvalues are 0 or 1
• if matrix A is idempotent and symmetric, then rk(A) = tr(A)
• if matrix A is idempotent and rk(A) = m, then it holds A = Im
• if matrix A is nilpotent, then all is eigenvalues are 0

1.10 Special operators

Definition 1.9 (Kronecker product): Let A and B be (m × n) and (p × q) matrices, then a
new matrix of dimension (mp × nq) generated as:
 
a11 B . . . a1n B
A ⊗ B =  ... .. 

. 
am1 B . . . amn B

is called Kronecker product or direct product of A and B. 

Rule 1.8 (Kronecker product operations): Basic operations with Kronecker product are as
follows:
• A ⊗ B 6= B ⊗ A in general
• (A ⊗ B) = A0 ⊗ B0
• (A ⊗ (B + C)) = A ⊗ B + A ⊗ C
• (A ⊗ B)−1 = A−1 ⊗ B−1 if matrices are invertible
• det (A ⊗ B) = det (A) det (B)m
n
where matrix A has dimension (m × m) and matrix
B has dimension (n × n)
• tr(A ⊗ B) = tr(A)tr(B) if A, B are square matrices
• eigenvalues of (A ⊗ B) is equal to the product of eigenvalues of matrix A and B

Definition 1.10 (Kronecker sum): Let A, B, C be matrices of any dimensions, then an operation
producing a new matrix in the form:
 
A 0 0
A ⊕ B ⊕ C = 0 B 0
0 0 C

is called Kronecker sum or direct sum of matrices A, B, C. 

Rule 1.9 (Kronecker sum operations): Basic operations with Kronecker sum are as follows:
• (A ⊕ B) + (C ⊕ D) = (A + C) ⊕ (B + D) all matrices are compatible

9
 • (A ⊕ B)(C ⊕ D) = AC ⊕ BD all matrices are compatible
−1 −1 −1
• (A ⊕ B) =A ⊕B
• det (A ⊕ B) = det (A) ⊕ det (B) for square matrices only
• A ⊕ (−A) 6= 0


Definition 1.11 (Hadamard product): Let A and B be matrices of the same order (m × n),
then a new matrix of dimension (m × n) generated as:
 
a11 b11 . . . a1n b1n
A  B =  ... .. 

. 
am1 bm1 . . . amn bmn
is called Hadamard product of matrices A and B. 

This procedure is sometimes called element by element multiplication. On the other hand,
element by element division is denoted by AB, it is a division analogy to Hadamard product.

1.11 VEC and VECH operators

Definition 1.12 (VEC operator): Let A = (a1 , . . . , an ) be an (m × n) matrix with (m × 1)
columns ai . The vec operator transforms original matrix A into the (mn × 1) by stacking all
columns that is:  
a1
 .. 
vec(A) =  . 
an


The vech operator is closely related to the vec operator. It stacks elements only on and below
the main diagonal of a square matrix.

Definition 1.13 (VECH operator): Let’s assume (n × n) matrix A, then VECH operator is
defined as follows:  
a11
 a21 
 .. 
 
   . 
a11 . . . a  an1 
 
 .. . a 
 
..  = 
vech(A) = vech  .

 .22 
an1 . . . ann  .. 
 
a 
 n2 
 . 
 .. 
ann


10
Rule 1.10 (VEC and VECH operations): let A, B, C be matrices of appropriate dimensions:
• vec(A + B) = vec(A) + vec(B)
• vec(ABC) = (C0 ⊗ A)vec(B)
• vec(AB) = vec(ABI) = (I0 ⊗ A)vec(B) = (I ⊗ A)vec(B)
• vec(AB) = vec(IAB) = (B0 ⊗ I)vec(A)
• vec(B0 )0 vec(A) = vec(A0 )0 vec(B) = tr(AB) = tr(BA)
• tr(ABC) = vec(A0 )0 (C0 ⊗ I)vec(B) = · · · = vec(C0 )0 (I ⊗ A)vec(B)

1.12 Matrix decomposition

Basic decomposition of matrices into the diagonal form is related to the eigenvalues and eigenvec-
tors. We know from the previous part that for a given eigenvalue it holds that: Ax = λi x for
∀λi . If there is more different eigenvalues it also holds that: Ax = Λx, where Λ is diagonal matrix
with eigenvalues on the main diagonal. It is a question how to transform (diagonalize) a matrix
A. From this stand point we can use another interesting property of matrix A and some invertible
matrix P stated in the following remark.

Theorem 1.4 (Matrix decomposition): Let’s assume compatible matrices A, P, then it holds
that matrices A and P−1 AP have the same eigenvalues. 

Rule 1.11 (Decomposition rules): Assume matrices A, P of order (n × n), where matrix P is
invertible, then it holds:
 
λ1 0 ... 0
 0 λ2 ... 0
Ax = Λx and also P−1 APx = Λx =⇒ P−1 AP = Λ =  ..
 
.. .. .. 
. . . .
0 0 . . . λn

where P is a matrix of eigenvectors. 

However, it should be noted that this transformation (diagonalization) does not work in all cases.
Generally, a matrix A is said to be diagonalizable iff it has a set of n independent eigenvectors
collected in matrix P. Moreover, if matrix A is symmetric, then all eigenvalues are real numbers
and eigenvectors corresponding to different eigenvalues are orthogonal. Moreover, if matrix A is
diagonalizable, then the property between matrices A and P can be used for computing powers of
matrix A: Am = PΛm P−1 .

For a given symmetric positive definite matrix A, the Cholesky decomposition is an upper
triangular matrix U such that: A = U0 U. Taking into account the fact that U0 is lower triangular
matrix, the Cholesky decomposition can be rewritten as LU decomposition in the form: A =
LU. Given a matrix A, its QR decomposition is a matrix decomposition of the form: A = QR,
where R is upper triangular matrix and Q an orthogonal matrix satisfying Q0 Q = I.

11
1.13 Matrix differentiation
In the following it will be assumed that all derivatives exist and are continuous. Let f (β) be a
scalar function depending on the (n × 1) vector β. Then, the derivative of function f (·) with
respect to β is defined as:
∂f
 
 ∂β1   
∂f  .  ∂f ∂f ∂f
=  ..  ,
 = ,··· , .
∂β   ∂f  ∂β 0 ∂β1 ∂βn
∂βn
A (n × n) matrix of second derivatives of function f is called a Hessian matrix:
 2
∂ f ∂2f

 ∂β1 ∂β1 · · · ∂β1 ∂βn 
∂2f  .. ... ..  ∂2f
=  . .  ∂β 0 ∂β .
 =
∂β∂β 0   ∂2f 2
∂ f 
···
∂βn ∂β1 ∂βn ∂βn
If f (A) is a scalar function of an (m × n) matrix A, then:
∂f ∂f
 
 ∂a11 ···
∂a1n 
∂f  . .. .. 
= .. . .
. 
∂A   ∂f ∂f 
···
∂am1 ∂amn
If y(β) is an (m × 1) vector that depends on the (n × 1) vector β, then:
∂y1 ∂y1
 
 ∂β1 · · · ∂βn  0
 0
∂y  . . .  ∂y ∂y
=  .. .. .. 
, = .
∂β 0   ∂ym ∂β ∂β 0
∂ym 
···
∂β1 ∂βn
Let A be (m × n) matrix and β be (n × 1) vector, both independent, then:
∂(Aβ) ∂(Aβ)0 ∂(β 0 A0 )
=A and = = A0 .
∂β 0 ∂β 0 ∂β 0
Rule 1.12 (Basic results of matrix differentiation): Let us always assume a compatible ma-
trices.
• Let A be (m × m) matrix and β be (m × 1) vector, both independent, then
∂(β 0 Aβ) ∂(β 0 Aβ)
= (A + A0 )β and 0 = β 0 (A0 + A).
∂β ∂β
∂ 2 (β 0 Aβ)
= (A + A0 ).
∂β∂β 0
∂ 2 (β 0 Aβ)
= 2A.
∂β∂β 0

12
• Let α and β be (m × 1) and (n × 1) vectors, and suppose h(α) is (p × 1) vector and g(β) is
(m × 1). Then differentiation h(α) with respect to β 0 , α = g(β), gives the following result

∂h(α) ∂h(α) ∂α
0 = .
∂β ∂α0 ∂β 0

• Suppose β is (m × 1) vector, α(β) is (n × 1) vector, c(β) is (p × 1) vector and A is (n × p)

matrix independent on β, then

∂[α(β)0 Ac(β)] ∂α(β) ∂c(β)

0 = c(β)0 A0 0 + α(β)0 A
∂β ∂β ∂β 0

If β is scalar, A(β) is (m × n) matrix, B(β) is (n × p) matrix, then

•
∂(AB) ∂A ∂B
= B+A
∂β ∂β ∂β
• If β is (m × 1) vector, A(β) is (n × p) matrix and B(β) is (p × q) matrix, then

∂vec(AB) ∂vec(B) ∂vec(A)

0 = (Iq ⊗ A) 0 + (B0 ⊗ In )
∂β ∂β ∂β 0

• Let Ω be symmetric (n × n) matrix and c(β) be (n × 1) vector, both independent, then

∂ 2 c(β)0 Ωc(β)


c(β)
0 = 2c(β)0 Ω ,
∂β ∂β 0
∂ 2 c(β)0 Ωc(β)


c(β)0 c(β)
∂vec(∂c(β)0 /∂β)
 
0
= 2 Ω + c(β) Ω ⊗ Im .
∂β∂β 0 ∂β ∂β 0 ∂β 0

• Suppose β is (m × 1), B(β) is (n × p) matrix, A is (k × n) and C is (p × q) and latter two

matrices are independent on β, then:

∂vec(ABC)
∂vec(B)
0 = C0 ⊗ A .
∂β ∂β 0

• If A is a nonsingular (m × m) matrix, then:

∂vec(A−1 )
= −(A−1 )0 ⊗ A−1
∂vec(A0 )

• If A is a (m × m) matrix, then:
∂tr(A)
= Im .
∂A
• If A is a (m × n) matrix and B is a (n × m) matrix, then:

∂tr(AB)
= B0 .
∂A

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• If A is a (m × m) matrix, then:
∂ det (A)
= A∗ 0 .
∂A
• If A is a (m × m) matrix, then:
∂ det (A)
= A∗ 0 .
∂A
• If A is a nonsingular (m × m) matrix with det (A), then:

∂ log det (A)

= (A0 )−1 .
∂A

• If A(x) is a nonsingular (m × n) matrix, where x is a scalar, then:

∂A−1 ∂A −1
= −A−1 A .
∂x ∂x

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References
[1] Sydsaeter, K. at al. (2005): Further Mathematics for Economic Analysis. Prentice Hall.

[2] Lütkepohl, H. (1994): Multiple Time Series Analysis. Springer.

[3] Searle, S. (1982): Matrix Algebra Useful for Statistics. Wiley.

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