Consistent estimation in the bilinear multivariate errors-in-variables model
Kukush, A., Markovsky, I. and Van Huffel, S. (2003) Consistent estimation in the bilinear multivariate errors-in-variables model. Metrika, 57, (3), 253-285.
Download
![[img]](http://eprints.soton.ac.uk/style/images/fileicons/application_pdf.png) |
PDF
Download (481Kb) |
Description/Abstract
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.
| Item Type: | Article |
|---|---|
| Related URLs: | |
| Keywords: | bilinear multivariate measurement error models, errors-in-variables models, adjusted least squares, consistency, asymptotic normality, small sample modification. |
| Divisions: | Faculty of Physical and Applied Science > Electronics and Computer Science > Comms, Signal Processing & Control |
| Item ID: | 263292 |
| Date Deposited: | 06 Jan 2007 |
| Last Modified: | 02 Mar 2012 13:20 |
| Contributors: | Kukush, A. (Author) Markovsky, I. (Author) Van Huffel, S. (Author) |
| Date: | 2003 |
| Status: | Published |
| Publisher: | Springer |
| Further Information: | Google Scholar |
| ISI Citation Count: | 3 |
| URI: | http://eprints.soton.ac.uk/id/eprint/263292 |
Actions (login required)
 |
View Item |
