Quadratic minimisation problems in statistics

C.J. Albers, F. Critchley and J.C. Gower

Journal of Multivariate Analysis, 2011, vol. 102, issue 3, 698-713

Abstract: We consider the problem subject to where is positive definite or positive semi-definite. Variants of this problem are discussed within the framework of a general unifying methodology. These include non-trivial considerations that arise when (i) and/or are not of full rank and (ii) takes special forms (especially which, under further conditions, reduces to the well-known two-sided eigenvalue solution). Special emphasis is placed on insights provided by geometrical interpretations.

Keywords: Canonical; analysis; Constraints; Geometry; Minimisation; Quadratic; forms; Ratios; Reduced; rank (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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