Computing all roots of the likelihood equations of seemingly unrelated regressions

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

Authors: 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

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zbMATH Keywords

maximum likelihood estimationmultivariate statisticsseemingly unrelated regressionsAlgebraic statisticsGröbner basis

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
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• Multimodality of the likelihood in the bivariate seemingly unrelated regressions model
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Cited In (7)

• Maximum Likelihood Estimation in Gaussian Chain Graph Models under the Alternative Markov Property
• Title not available (Why is that?)
• Computing maximum likelihood estimates for Gaussian graphical models with Macaulay2
• Title not available (Why is that?)
• Highly accurate likelihood analysis for the seemingly unrelated regression problem
• Flat and multimodal likelihoods and model lack of fit in curved exponential families
• Confidence ellipsoids for the primary regression coefficients in two seemingly unrelated regression models

Uses Software

• SINGULAR

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