A comment on "minimization of functions of a positive simidefinite matrix A subject to AX = 0"
A common problem in multivariate analysis is that of minimizing a scalar function [phi] of a positive semidefinite matrix A subject possibly to AX = 0. In this paper it is suggested to replace A by B'B, where B is allowed to vary freely, subject possibly to BX = 0.
Year of publication: |
1980
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Authors: | Neudecker, H. |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 10.1980, 1, p. 135-139
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Publisher: |
Elsevier |
Keywords: | Positive semidefinite matrices maximum likelihood estimation matrix differential calculus |
Saved in:
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