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The NLIN Procedure |
Equality restrictions can be written as a vector function
Inequality restrictions are either active or inactive. When an inequality restriction is active, it is treated as an equality restriction.
For the following, assume the vector contains all the current active restrictions. The constraint matrix A is
The covariance matrix for the restricted parameter estimates is computed as
where H is Hessian or approximation to the Hessian, and Z is the last (np - nc) columns of Q. Q is from an LQ factorization of the constraint matrix, nc is the number of active constraints, and np is the number of parameters. Refer to Gill, Murray, and Wright (1981) for more details on LQ factorization.
The covariance matrix for the Lagrange multipliers is computed as
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