The use of generalized inverses in restricted maximum likelihood

DOI10.1016/0024-3795(85)90054-0MaRDI QIDQ1086945zbMATH OpenOpenAlexFDO

Authors F. J. Henk Don

Publication date 1985

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0024-3795(85)90054-0

zbMATH Keywords

bordered information matrixconvergence in probabilitygeneral restricted maximum likelihoodgeneralized inversesgeneralized method of scoringKronecker productslinear expenditure systemlinear restrictionsmatrix differentialsMoore-Penrose inversenonlinear seemingly unrelated regressions modelsingular covariance matrix

Mathematics Subject Classification ID

Theory of matrix inversion and generalized inverses (15A09) Multilinear algebra, tensor calculus (15A69) Asymptotic distribution theory in statistics (62E20) Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Applications of statistics to economics (62P20)

Review text

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.

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Cited in

(6)

• On the symmetric solutions of a linear matrix equation
• A Schur complement approach for computing subcovariance matrices arising in a road safety measure modelling
• Testing for the equality of EC50 values in the presence of unequal slopes with application to toxicity of selenium types
• A covariance components estimation procedure when modelling a road safety measure in terms of linear constraints
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• A singular woodbury and pseudo-determinant matrix identities and application to Gaussian process regression

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