Abstract
This chapter serves as a reminder of basic concepts of matrix algebra, which are particularly useful in multivariate analysis. It also introduces the notations used in this book for vectors and matrices. Eigenvalues and eigenvectors play an important role in multivariate techniques. In Sects. 2.2 and 2.3, we present the spectral decomposition of matrices and consider the maximisation (minimisation) of quadratic forms given some constraints.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2015 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Härdle, W.K., Simar, L. (2015). A Short Excursion into Matrix Algebra. In: Applied Multivariate Statistical Analysis. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-45171-7_2
Download citation
DOI: https://doi.org/10.1007/978-3-662-45171-7_2
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-662-45170-0
Online ISBN: 978-3-662-45171-7
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)