3.9 Further Reading: Matrix Algebra Review

A classic textbook on linear algebra is (Strang 1980). A review of basic matrix algebra with applications in economics and finance is given in (Chiang 1984). Matrix algebra results that are useful for statistical analysis are presented in (Searle 1982), Gentile (2010) and (Banerjee and Roy 2014). (Lutkepohl 1997) and (Abadir and Magnus 2005) present advanced matrix algebra useful for econometrics and statistics. (Fieller 2015) overviews the basics of matrix algebra for statistics using R.

References

Abadir, K. M., and J. R. Magnus. 2005. Matrix Algebra (Econometric Exercises, Vol. 1). Cambridge University Press.

Banerjee, S., and A. Roy. 2014. Linear Algebra and Matrix Analysis for Statistics. London: Chapman; Hall/CRC.

Chiang, A. 1984. Fundamental Methods of Mathematical Economics, Third Edition. New York: McGraw-Hill.

Fieller, N. 2015. Basics of Matrix Algebra for Statistics with R. Boca Raton: Taylor & Francis.

Lutkepohl, H. 1997. Handbook of Matrices. Wiley.

Searle, S. 1982. Matrix Algebra Useful for Statistics. New York: Wiley.

Strang, G. 1980. Linear Algebra and Its Applications. Academic Press.