An implicit function approach to constrained optimization with applications to asymptotic expansions

Robert J. Boik

Journal of Multivariate Analysis, 2008, vol. 99, issue 3, 465-489

Abstract: In this article, an unconstrained Taylor series expansion is constructed for scalar-valued functions of vector-valued arguments that are subject to nonlinear equality constraints. The expansion is made possible by first reparameterizing the constrained argument in terms of identified and implicit parameters and then expanding the function solely in terms of the identified parameters. Matrix expressions are given for the derivatives of the function with respect to the identified parameters. The expansion is employed to construct an unconstrained Newton algorithm for optimizing the function subject to constraints. Parameters in statistical models often are estimated by solving statistical estimating equations. It is shown how the unconstrained Newton algorithm can be employed to solve constrained estimating equations. Also, the unconstrained Taylor series is adapted to construct Edgeworth expansions of scalar functions of the constrained estimators. The Edgeworth expansion is illustrated on maximum likelihood estimators in an exploratory factor analysis model in which an oblique rotation is applied after Kaiser row-normalization of the factor loading matrix. A simulation study illustrates the superiority of the two-term Edgeworth approximation compared to the asymptotic normal approximation when sampling from multivariate normal or nonnormal distributions.

Keywords: Bordered; determinantal; criterion; Bordered; Hessian; Edgeworth; expansions; Estimating; functions; Factor; analysis; Lagrange; multipliers; Matrix; derivatives; Second; derivative; test; Singular; value; decomposition; Taylor; series; expansions (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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