Computing all roots of the likelihood equations of seemingly unrelated regressions

DOI10.1016/J.JSC.2005.04.005zbMATH Open1120.62037arXivmath/0508437OpenAlexW1969532300WikidataQ57566460 ScholiaQ57566460MaRDI QIDQ2457331FDOQ2457331

Mathias Drton

Publication date: 23 October 2007

Published in: Journal of Symbolic Computation (Search for Journal in Brave)

Abstract: Seemingly unrelated regressions are statistical regression models based on the Gaussian distribution. They are popular in econometrics but also arise in graphical modeling of multivariate dependencies. In maximum likelihood estimation, the parameters of the model are estimated by maximizing the likelihood function, which maps the parameters to the likelihood of observing the given data. By transforming this optimization problem into a polynomial optimization problem, it was recently shown that the likelihood function of a simple bivariate seemingly unrelated regressions model may have several stationary points. Thus local maxima may complicate maximum likelihood estimation. In this paper, we study several more complicated seemingly unrelated regression models, and show how all stationary points of the likelihood function can be computed using algebraic geometry.

Full work available at URL: https://arxiv.org/abs/math/0508437

zbMATH Keywords

maximum likelihood estimationmultivariate statistics[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Gr%EF%BF%BD%EF%BF%BDbner+basis&go=Go Gr��bner basis]seemingly unrelated regressionsAlgebraic statistics

Mathematics Subject Classification ID

Point estimation (62F10) Linear inference, regression (62J99) Estimation in multivariate analysis (62H12) Applications of mathematical programming (90C90) Gröbner bases; other bases for ideals and modules (e.g., Janet and border bases) (13P10)

Cites Work

• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Ancestral graph Markov models.
• A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models
• Title not available (Why is that?)
• Title not available (Why is that?)
• An extension of the growth curve model
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• Alternative Markov properties for chain graphs
• Iterative Estimation of a Set of Linear Regression Equations
• Title not available (Why is that?)
• Multimodality of the likelihood in the bivariate seemingly unrelated regressions model
• Conditional independence models for seemingly unrelated regressions with incomplete data
• Analyzing Bivariate Repeated Measures for Discrete and Continuous Outcome Variables

Cited In (6)

• Maximum Likelihood Estimation in Gaussian Chain Graph Models under the Alternative Markov Property
• Flat and Multimodal Likelihoods and Model Lack of Fit in Curved Exponential Families
• Title not available (Why is that?)
• Computing maximum likelihood estimates for Gaussian graphical models with Macaulay2
• Title not available (Why is that?)
• Confidence ellipsoids for the primary regression coefficients in two seemingly unrelated regression models

Uses Software

• SINGULAR

   Recommendations

• Multimodality of the likelihood in the bivariate seemingly unrelated regressions model 👍 👎
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• Highly accurate likelihood analysis for the seemingly unrelated regression problem 👍 👎
• Counting and locating the solutions of polynomial systems of maximum likelihood equations. I. 👍 👎
• The maximum likelihood degree 👍 👎

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