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

[Jan de Leeuw]

but maybe of use to some:

http://gifi.stat.ucla.edu/psychoR/derivatives

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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