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Download the Paper (561 K, PDF file) - January 30, 2007 Tell a colleague about it. Printing Tips: Select 'print as image' in the Acrobat print dialog if you have trouble printing.

ABSTRACT:
In this note we compute derivatives of generalized eigenvalues and singular values, and of the corresponding eigen and singular vectors. These formulas have been around for a long time in various places, and we collect them mostly for reference purposes. We discuss some applications to multivariate analysis, and include R routines for doing the computations.

SUGGESTED CITATION:
Jan de Leeuw, "Derivatives of Generalized Eigen Systems with Applications" (January 30, 2007). Department of Statistics, UCLA. Department of Statistics Papers. Paper 2007010120.
http://repositories.cdlib.org/uclastat/papers/2007010120