The Stack Overflow podcast is back! Listen to an interview with our new CEO.

Questions tagged [lagrange-multipliers]

The method of Lagrange multipliers finds critical points (including maxima and minima) of a differentiable function subject to differentiable constraints.

37 questions
Filter by
Sorted by
Tagged with
15 views

Spatial Lag or spatial Error Model? Deciding by using the Lagrange multiplier diagnostics

Honestly, my knowledge of geostatistics is limited. My assumptions are as follows: If I want to choose between a Spatial Lag Model (SLM) and a Spatial Error Model (SEM), I can use the Lagrange ...
39 views

406 views

R built-in Breusch-Pagan Test getting different results from manual Calculation

I was using the following code to calculate the bp-test (eaef.csv can be found here). ...
616 views

ARCH effect - Conflicting Results from Lagrange Multiplier Test and Ljung Box Test?

I want to test for presence of conditional heteroskedasticity in a vector of ARIMA(0,0,0) residuals. For this purpose, I would like to see if both ARCH Lagrange Multiplier Test (on levels of ...
19 views

Scaling prediction from VAR model subject to a equality constraint

I have a forecasting problem and already built a decently working VAR model which provides forecasts as $\hat{Y}_{iT}$, for $i = 1,..n$ and $T$ is forecast time period. But now I have an additional ...
381 views

Number of lags to use in Engle's ARCH-LM test [duplicate]

How does one decide on number of lags to use in this test? Can one just justify the number based on previous papers? To clarify, I am forecasting conditional variance, and have generated my log ...
403 views

Can I use a spatially lagged Dependent Variable while using Spatial Error Model?

I have following issue: I run spatial diagnostics on dependencies for my Log-Log Transformed regression model. LM Tests (including Robust) are highly significant. Since I am using GeoDa, I cannot ...
300 views

SVM - Reason for using Lagrangian Dual [duplicate]

Objective To confirm if the understanding is correct regarding the reason why Lagrangian Dual is used in SVM. Background While Machine Learning, gradient descent is used at regression, logistic ...
740 views

KKT in a nutshell graphically

Objective Confirm if the understanding of KKT is correct or not. Seek for further explanation and confirmations on KKT. Background Trying to understand KKT conditions, especially the complementary ...
I am beginner learning Lagrange multipliers with wiki article. Consider: maximize $f(x,y)$ subject to $g(x,y) = 0$ I understand that to maximize I must follow the gradient $\nabla {_{x, y}}^{}f$. I ...