Old and New Matrix Algebra Useful for Statistics

Thomas Minka
MIT Media Lab note (1997; revised 12/00)

A concise reference on advanced matrix theory, including:

with applications to multilinear models, principal component analysis, blind source separation, Lyapunov equations, model alignment, and more.

Matlab functions related to the paper (commutation matrix, duplication matrix, etc) are available in a zip file.


Some other online references:

Thomas P Minka
Last modified: Mon Aug 22 18:02:27 GMT 2005