On the computation of the multivariate structured total least squares estimator
نویسندگان
چکیده
منابع مشابه
On the computation of the multivariate structured total least squares estimator
A multivariate structured total least squares problem is considered, in which the extended data matrix is partitioned into blocks and each of the blocks is Toeplitz/Hankel structured, unstructured, or noise free. Two types of numerical solution methods for this problem are proposed: i) standard local optimization methods in combination with efficient evaluation of the cost function and its firs...
متن کاملConsistency of the structured total least squares estimator in a multivariate errors-in-variables model
The structured total least squares estimator, defined via a constrained optimization problem, is a generalization of the total least squares estimator when the data matrix and the applied correction satisfy given structural constraints. In the paper, an affine structure with additional assumptions is considered. In particular, Toeplitz and Hankel structured, noise free and unstructured blocks a...
متن کاملThe Multivariate Least Trimmed Squares Estimator
In this paper we introduce the least trimmed squares estimator for multivariate regression. We give three equivalent formulations of the estimator and obtain its breakdown point. A fast algorithm for its computation is proposed. We prove Fisherconsistency at the multivariate regression model with elliptically symmetric error distribution and derive the influence function. Simulations investigat...
متن کاملOn the equivalence of constrained total least squares and structured total least squares
Several extensions of the total least squares (TIS) method that are able to calculate a structured rank deficient approximation of a data matrix have been developed recently. The main result of this correspondence is the demonstration of the equivalence of two of these approaches, namely, the constrained total least squares (CTLS) approach and the structured total least squares (STLS) approach....
متن کاملOn Weighted Structured Total Least Squares
In this contribution we extend our previous results on the structured total least squares problem to the case of weighted cost functions. It is shown that the computational complexity of the proposed algorithm is preserved linear in the sample size when the weight matrix is banded with bandwidth that is independent of the sample size.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Numerical Linear Algebra with Applications
سال: 2004
ISSN: 1070-5325,1099-1506
DOI: 10.1002/nla.361