{"title":"用数值非线性代数估计线性协方差模型","authors":"B. Sturmfels, S. Timme, Piotr Zwiernik","doi":"10.2140/ASTAT.2020.11.31","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":41066,"journal":{"name":"Journal of Algebraic Statistics","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2019-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"31","resultStr":"{\"title\":\"Estimating linear covariance models with numerical nonlinear algebra\",\"authors\":\"B. Sturmfels, S. Timme, Piotr Zwiernik\",\"doi\":\"10.2140/ASTAT.2020.11.31\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":41066,\"journal\":{\"name\":\"Journal of Algebraic Statistics\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-09-02\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"31\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Algebraic Statistics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2140/ASTAT.2020.11.31\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Algebraic Statistics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2140/ASTAT.2020.11.31","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.