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.
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.
|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
|Date Deposited:||06 Jan 2007|
|Last Modified:||02 Mar 2012 13:20|
|Contributors:||Kukush, A. (Author)
Markovsky, I. (Author)
Van Huffel, S. (Author)
|Further Information:||Google Scholar|
|ISI Citation Count:||3|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
Actions (login required)