A pseudo restricted MLE under multivariate order restrictions and its algorithm
Hu, Xiaomi
Hu, Xiaomi
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2018-12-21
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Article
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Algorithm,Matrix projection,Multivariate normal distribution,Multivariate order,Restricted MLE
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Xiaomi Hu (2018) A pseudo restricted MLE under multivariate order restrictions and its algorithm, Communications in Statistics - Theory and Methods
Abstract
It is shown in this paper that a quasi order for the vectors in Rp is a cone induced if and only if the order is preservable under limits and under linear combinations with non-negative coefficients. For the mean vectors in MANOVA subject to the restriction of simple ordering, a pseudo restricted MLE is proposed. This estimator is a matrix projection onto a closed convex set inside the restricted domain. An algorithm for the pseudo restricted MLE is developed, that computes the matrix projections using only vector projections.
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Taylor & Francis
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Communications in Statistics - Theory and Methods
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0361-0926