Skip to main content
Open Access Publications from the University of California

Department of Statistics, UCLA

Department of Statistics Papers bannerUCLA

Derivatives of Generalized Eigen Systems with Applications

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

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.

Main Content
For improved accessibility of PDF content, download the file to your device.
Current View