A closed form solution for tre least squares regression problem with linear inequality constraints
- 1 January 1984
- journal article
- research article
- Published by Informa UK Limited in Communications in Statistics - Theory and Methods
- Vol. 13 (9), 1127-1134
- https://doi.org/10.1080/03610928408828746
Abstract
In this paper we consider a linear model Y = Xβ+e with linear inequality constraints R'β≥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.Keywords
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