A closed form solution for the least squares regression problem with linear inequality constraints

Document Type

Article

Publication Date

1-1-1984

Abstract

In this paper we consider a linear model Y = X3+e with lineal inequality constraints Rf£ ≥ r, where X and R are known and full column rank matrices. The closed form of the inequality constrained least squares (ICLS) estimator is given. We provide two examples which illustrate the use of this closed form in the computation of estimates. Copyright © 1984 by Marcel Dekker, Inc.

Publication Source (Journal or Book title)

Communications in Statistics - Theory and Methods

First Page

1127

Last Page

1134

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