[R] not a package (yet): derivatives of generalized eigen/singular pairs

From: Jan de Leeuw <deleeuw_at_stat.ucla.edu>
Date: Sat, 15 Dec 2007 20:04:46 -0800

but maybe of use to some:


Computes generalized eigenvalue solutions Ax=\lambda Bx and generalized singular value solutions Rz=\gamma Px and R'x=\gamma Qy for matrices that are differentiable functions of a vector of parameters. Along with the decomposition the code returns arrays with all first-order partial derivatives of the values/vector wrt the parameters. This makes it easy to apply the delta method to CA, CCA, MCA, PCA and friends. But on a really large example you may be in for an unpleasant surprise.

There is also a paper with the formulas in the same directory.

Note that Patrick Mair and I are in the process of converting some of the
psychoR repository into CRAN packages and JSS papers/snippets.

Jan de Leeuw; Distinguished Professor and Chair, UCLA Department of Statistics;
Director: UCLA Center for Environmental Statistics (CES); Editor: Journal of Multivariate Analysis, Journal of Statistical Software;
US mail: 8125 Math Sciences Bldg, Box 951554, Los Angeles, CA 90095-1554 phone (310)-825-9550; fax (310)-206-5658; email: deleeuw_at_stat.ucla.edu .mac: jdeleeuw +++ skype: j_deleeuw +++ homepage: http://www.cuddyvalley.org    

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