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Derivatives of Generalized Eigen Systems with Applications

  • Author(s): de Leeuw, Jan
  • et al.
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.

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