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The element-wise weighted total least squares problem

Markovsky, I., Rastello, M., Premoli, P. and Van Huffel, S., Barlow, J.(ed.) (2006) The element-wise weighted total least squares problem Computational Statistics & Data Analysis, 51, (1), 181 -209.

Record type: Article


A new technique for parameter estimation is considered in a linear measurement error model AX approx B, A = A0 + tilde A, B = B0 + tilde B, with row-wise independent and non-identically distributed measurement errors tilde A, tilde B. The total least squares method yields an inconsistent estimate of the parameter X in this case. We formulate a modified total least squares problem, called element-wise weighted total least squares, which provides a consistent estimator, and propose two iterative algorithms for its solution. A local convergence and the rate of convergence of the algorithms is discussed. As a computationally cheap initial approximation we use the generalized total least squares estimate.

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Published date: January 2006
Keywords: Total least squares, Multivariate errors-in-variables model, Unequally sized errors, Non-convex optimization, Re-weighted least-squares
Organisations: Southampton Wireless Group


Local EPrints ID: 263293
ISSN: 0167-9473
PURE UUID: ea65d65f-0f45-427f-b238-530b2ebeb91c

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Date deposited: 06 Jan 2007
Last modified: 18 Jul 2017 07:47

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Author: I. Markovsky
Author: M. Rastello
Author: P. Premoli
Author: S. Van Huffel
Editor: J. Barlow

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