Unitarily invariant errors-in-variables estimation

Linear relations, containing measurement errors in the input and output data, are considered. Parameters of these errors-in-variables (EIV) models can be estimated by minimizing the total least squares (TLS) of the input–output disturbances, i.e., penalizing the orthogonal squared misfit. This appro...

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Published inStatistical papers (Berlin, Germany) Vol. 57; no. 4; pp. 1041 - 1057
Main Author Pesta, Michal
Format Journal Article
LanguageEnglish
Published Berlin/Heidelberg Springer Berlin Heidelberg 01.12.2016
Springer Nature B.V
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ISSN0932-5026
1613-9798
DOI10.1007/s00362-016-0800-9

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Abstract Linear relations, containing measurement errors in the input and output data, are considered. Parameters of these errors-in-variables (EIV) models can be estimated by minimizing the total least squares (TLS) of the input–output disturbances, i.e., penalizing the orthogonal squared misfit. This approach corresponds to minimizing the Frobenius norm of the error matrix. An extension of the traditional TLS estimator in the EIV model—the EIV estimator—is proposed in the way that a general unitarily invariant norm of the error matrix is minimized. Such an estimator is highly non-linear. Regardless of the chosen unitarily invariant matrix norm, the corresponding EIV estimator is shown to coincide with the TLS estimator. Its existence and uniqueness is discussed. Moreover, the EIV estimator is proved to be scale invariant, interchange, direction, and rotation equivariant.
AbstractList Linear relations, containing measurement errors in the input and output data, are considered. Parameters of these errors-in-variables (EIV) models can be estimated by minimizing the total least squares (TLS) of the input–output disturbances, i.e., penalizing the orthogonal squared misfit. This approach corresponds to minimizing the Frobenius norm of the error matrix. An extension of the traditional TLS estimator in the EIV model—the EIV estimator—is proposed in the way that a general unitarily invariant norm of the error matrix is minimized. Such an estimator is highly non-linear. Regardless of the chosen unitarily invariant matrix norm, the corresponding EIV estimator is shown to coincide with the TLS estimator. Its existence and uniqueness is discussed. Moreover, the EIV estimator is proved to be scale invariant, interchange, direction, and rotation equivariant.
Linear relations, containing measurement errors in the input and output data, are considered. Parameters of these errors-in-variables (EIV) models can be estimated by minimizing the total least squares (TLS) of the input-output disturbances, i.e., penalizing the orthogonal squared misfit. This approach corresponds to minimizing the Frobenius norm of the error matrix. An extension of the traditional TLS estimator in the EIV model-the EIV estimator-is proposed in the way that a general unitarily invariant norm of the error matrix is minimized. Such an estimator is highly non-linear. Regardless of the chosen unitarily invariant matrix norm, the corresponding EIV estimator is shown to coincide with the TLS estimator. Its existence and uniqueness is discussed. Moreover, the EIV estimator is proved to be scale invariant, interchange, direction, and rotation equivariant.
Author Pešta, Michal
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Cites_doi 10.1137/1.9781611971002
10.1007/BF02288367
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10.1016/0024-3795(72)90013-4
10.1007/978-1-4612-0653-8
10.1080/02331888.2012.658806
10.1214/aos/1176342472
10.1080/03610928208828287
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10.21236/ADA037530
10.1093/qmath/11.1.50
10.1137/0717073
10.1007/s001840300272
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Issue 4
Keywords Errors-in-variables model
15B51
Total least squares
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Equivariance
Invariance
Unitarily invariant matrix norm
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  ident: 800_CR7
  publication-title: SIAM J Numer Anal
  doi: 10.1137/0717073
– volume: 59
  start-page: 75
  issue: 1
  year: 2004
  ident: 800_CR9
  publication-title: Metrika
  doi: 10.1007/s001840300272
SSID ssj0018880
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Snippet Linear relations, containing measurement errors in the input and output data, are considered. Parameters of these errors-in-variables (EIV) models can be...
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SubjectTerms Approximation
Disturbances
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Error analysis
Errors
Estimators
Euclidean space
Finance
Insurance
Invariants
Least squares method
Management
Mathematical models
Mathematics
Mathematics and Statistics
Norms
Operations Research/Decision Theory
Optimization
Probability Theory and Stochastic Processes
Random variables
Regular Article
Statistics
Statistics for Business
Studies
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Title Unitarily invariant errors-in-variables estimation
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