Quadratic minimisation problems in statistics
نویسندگان
چکیده
منابع مشابه
Quadratic minimisation problems in statistics
We consider the problem minx(x−t)′A(x−t) subject to x′Bx+2b′x = k where A is positive definite or positive semidefinite. Commonly occurring statistical variants of this problem are discussed within the framework of a general unifying methodology. These include non-trivial considerations that arise when (i) A and/or B are not of full rank and (ii) t takes special forms (especially t = 0 which, u...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2011
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2009.12.018