This can't be right. Let L->0 then fn -> infty. Probably you want
sqrt(L'Sigma L) in the denom. In that case, the solution is simply
proportional to sigma^{-1}delta.
At 4:42 PM +0000 11/20/99, Brad wrote:
>Hello.
>
>I'm trying to maximize (wrt L) the following function:
>
>fn:= (L'delta)/(L' Sigma L)
>
>where L = p x 1
> delta = p x 1
> Sigma = p x p
>
>I'd appreciate any help in the matter.
>
>Brad
>
>
>Sent via Deja.com http://www.deja.com/
>Before you buy.
===
Jan de Leeuw; Professor and Chair, UCLA Department of Statistics;
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