Consistent estimation in the bilinear multivariate errors-in-variables model
A bilinear multivariate errors-in-variables model is considered. It corresponds to an overdetermined set of linear equations AXB=C, A?Rm×n, B?Rp×q, in which the data A, B, C are perturbed by errors. The total least squares estimator is inconsistent in this case. An adjusted least squares estimator h...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
2003.
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| Subjects: | |
| Online Access: | Get fulltext |
| LEADER | 01036 am a22001453u 4500 | ||
|---|---|---|---|
| 001 | 263292 | ||
| 042 | |a dc | ||
| 100 | 1 | 0 | |a Kukush, A. |e author |
| 700 | 1 | 0 | |a Markovsky, I. |e author |
| 700 | 1 | 0 | |a Van Huffel, S. |e author |
| 245 | 0 | 0 | |a Consistent estimation in the bilinear multivariate errors-in-variables model |
| 260 | |c 2003. | ||
| 856 | |z Get fulltext |u https://eprints.soton.ac.uk/263292/1/axb_published.pdf | ||
| 520 | |a A bilinear multivariate errors-in-variables model is considered. It corresponds to an overdetermined set of linear equations AXB=C, A?Rm×n, B?Rp×q, in which the data A, B, C are perturbed by errors. The total least squares estimator is inconsistent in this case. An adjusted least squares estimator hat X is constructed, which converges to the true value X, as m -> infty, q -> infty. A small sample modification of the estimator is presented, which is more stable for small m and q and is asymptotically equivalent to the adjusted least squares estimator. The theoretical results are confirmed by a simulation study. | ||
| 655 | 7 | |a Article | |