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.

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Year of publication:	1980
Authors:	Neudecker, H.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 10.1980, 1, p. 135-139
Publisher:	Elsevier
Keywords:	Positive semidefinite matrices maximum likelihood estimation matrix differential calculus

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005021331