用数值非线性代数估计线性协方差模型

B. Sturmfels, S. Timme, Piotr Zwiernik
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引用次数: 31

摘要

将数值非线性代数应用于由协方差矩阵上的线性约束定义的高斯模型的极大似然估计。我们研究了统计学中感兴趣的一般情况以及特殊模型(例如Toeplitz,稀疏,树)。我们研究了极大似然度及其对偶模拟,并介绍了一个新的软件包线性协方差模型。Jl用于求解分数方程。因此,所有的局部最大值都可以可靠地计算出来。此外,我们还确定了几种情形,其中估计量是一个有理函数。
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Estimating linear covariance models with numerical nonlinear algebra
Numerical nonlinear algebra is applied to maximum likelihood estimation for Gaussian models defined by linear constraints on the covariance matrix. We examine the generic case as well as special models (e.g. Toeplitz, sparse, trees) that are of interest in statistics. We study the maximum likelihood degree and its dual analogue, and we introduce a new software package LinearCovarianceModels.jl for solving the score equations. All local maxima can thus be computed reliably. In addition we identify several scenarios for which the estimator is a rational function.
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Journal of Algebraic Statistics
Journal of Algebraic Statistics STATISTICS & PROBABILITY-
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