Maximum likelihood estimation for linear Gaussian covariance models

DOI10.1111/RSSB.12217MaRDI QIDQ5364909zbMATH OpenOpenAlexFDO

Authors Piotr Zwiernik, Caroline Uhler, Donald Richards

Publication date 29 September 2017

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1408.5604

zbMATH Keywords

convex optimizationWishart distributioneigenvalues of random matricesTracy-Widom lawBrownian motion tree modellinear Gaussian covariance model

Mathematics Subject Classification ID

Point estimation (62F10) Estimation in multivariate analysis (62H12) Parametric inference under constraints (62F30)

Abstract: We study parameter estimation in linear Gaussian covariance models, which are $p$-dimensional Gaussian models with linear constraints on the covariance matrix. Maximum likelihood estimation for this class of models leads to a non-convex optimization problem which typically has many local maxima. Using recent results on the asymptotic distribution of extreme eigenvalues of the Wishart distribution, we provide sufficient conditions for any hill-climbing method to converge to the global maximum. Although we are primarily interested in the case in which $n>!!>p$, the proofs of our results utilize large-sample asymptotic theory under the scheme $n/pogamma>1$. Remarkably, our numerical simulations indicate that our results remain valid for $p$ as small as $2$. An important consequence of this analysis is that for sample sizes $nsimeq14p$, maximum likelihood estimation for linear Gaussian covariance models behaves as if it were a convex optimization problem.

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