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CPS1854 Shonosuke S. et al.
1 2
()
2
(, ) = 2(1 + ) log + 2 2 ∑ ∑ ( − − )
()
=1 =1
1
−1
+ log|| + ∑ () + ∑ | | + ∑ ∥ ∥,
2(1 + ) 2 ℓ °ℓ
=1 =1 ℓ=1
This minimization problem is almost the same as minimizing the
regularized likelihood of linear regression.
References
1. Hui, F. K. C., Mueller, S., and Welsh, A. H. (2017). Joint Selection in Mixed
Models Using Regularized PQL. Journal of the American Statistical
Association 112, 13231333.
2. Fujisawa, H. and Eguchi, S. (2008). Robust parameter estimation with a
small bias against heavy contamination. Journal of Multivariate Analysis
99, 2053-2081.
3. Hunter, D. R. and Lange, K. A tutorial on MM algorithms. American
Statistician 58, 0-37.
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