Computational issues with fitting joint location/dispersion models in unreplicated 2k factorials

Authors:
Thomas M. Loughin;Jorge E. Rodríguez
Affiliations:
Department of Statistics and Actuarial Science, Simon Fraser University, 8888 University Drive, Burnaby, BC, Canada V5A 1S6;Department of Statistics and Actuarial Science, Simon Fraser University, 8888 University Drive, Burnaby, BC, Canada V5A 1S6
Venue:
Computational Statistics & Data Analysis
Year:
2011

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Abstract

Maximum likelihood estimation for a joint location/dispersion model has been found occasionally to experience convergence problems when applied to experiments of the 2^k factorial series. We explore these problems and identify models for which the likelihood diverges or is multimodal. We derive the conditions under which this occurs and provide simple ways to check for problems both before and during computation.