The use of generalized inverses in restricted maximum likelihood (Q1086945): Difference between revisions

The calculus of generalized inverses and related concepts in matrix algebra is applied to the general restricted maximum likelihood problem. Some new results on g-inverses, Kronecker products, and matrix differentials are presented. For the restricted maximum likelihood problem we obtain generalizations of the well-known results of \textit{J. Aitchison} and \textit{S. D. Silvey} [Ann. Math. Stat. 29, 813-828 (1958; Zbl 0092.367)]. We use the approach recently developed by \textit{R. D. H. Heijmans} and \textit{J. R. Magnus} [Asymptotic properties of maximum likelihood estimators in the nonlinear regression model when the errors are neither independent nor identically distributed. Rep. AE 20/82, Univ. Amsterdam (1982); On the asymptotic normality of the maximum likelihood estimator with dependent observations. Rep. AE 14/83, Univ. Amsterdam (1983)] to allow for non-i.i.d. observations. A nonlinear seemingly unrelated regressions model with possibly singular covariance matrix and linear restrictions is analyzed, and the linear expenditure system is discussed as a special case.