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arXiv · 2003.13662

Invariant theory and scaling algorithms for maximum likelihood estimation

Carlos Améndola·Kathlén Kohn·Philipp Reichenbach·Anna Seigal
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Abstract

We uncover connections between maximum likelihood estimation in statistics and norm minimization over a group orbit in invariant theory. We focus on Gaussian transformation families, which include matrix normal models and Gaussian graphical models given by transitive directed acyclic graphs. We use stability under group actions to characterize boundedness of the likelihood, and existence and uniqueness of the maximum likelihood estimate. Our approach reveals promising consequences of the interplay between invariant theory and statistics. In particular, existing scaling algorithms from statistics can be used in invariant theory, and vice versa.

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Carlos Améndola, Kathlén Kohn, Philipp Reichenbach, Anna Seigal. 2020-03-30. Invariant theory and scaling algorithms for maximum likelihood estimation. https://doi.org/10.1137/20m1328932

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