Department of Statistics, UCLA
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.