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Pré-Publication, Document De Travail Année : 2021

Bayesian Estimation Approach for Linear Regression Models with Linear Inequality Restrictions *

Hossein Bevrani
  • Fonction : Auteur
Solmaz Seifollahi
  • Fonction : Auteur

Résumé

Univariate and multivariate general linear regression models, subject to linear inequality constraints, arise in many scientific applications. The linear inequality restrictions on model parameters are often available from phenomenological knowledge and motivated by machine learning applications of high-consequence engineering systems (Agrell, 2019; Veiga and Marrel, 2012). Some studies on the multiple linear models consider known linear combinations of the regression coefficient parameters restricted between upper and lower bounds. In the present paper, we consider both univariate and multivariate general linear models subjected to this kind of linear restrictions. So far, research on univariate cases based on Bayesian methods is all under the condition that the coefficient matrix of the linear restrictions is a square matrix of full rank. This condition is not, however, always feasible. Another difficulty arises at the estimation step by implementing the Gibbs algorithm, which exhibits, in most cases, slow convergence. This paper presents a Bayesian method to estimate the regression parameters when the matrix of the constraints providing the set of linear inequality restrictions undergoes no condition. For the multivariate case, our Bayesian method estimates the regression parameters when the number of the constrains is less than the number of the regression coefficients in each multiple linear models. We examine the efficiency of our Bayesian method through simulation studies for both univariate and multivariate regressions. After that, we illustrate that the convergence of our algorithm is relatively faster than the previous methods. Finally, we use our approach to analyze two real datasets.
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Dates et versions

hal-04191513 , version 1 (30-08-2023)

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  • HAL Id : hal-04191513 , version 1

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Kaniav Kamary, Hossein Bevrani, Solmaz Seifollahi. Bayesian Estimation Approach for Linear Regression Models with Linear Inequality Restrictions *. 2023. ⟨hal-04191513⟩
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