The general linear model of the generalized singular value decomposition (Q1072313)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | The general linear model of the generalized singular value decomposition |
scientific article |
Statements
The general linear model of the generalized singular value decomposition (English)
0 references
1985
0 references
The following linear model is considered: \[ y=X\beta +w,\quad with\quad E(w)=0\quad and\quad V(w)=\sigma^ 2W. \] X is an \(n\times q\)-matrix and W is an \(n\times n\) matrix with rank k. W can be written as \(W=FF'\) where F is an \(n\times k\)-matrix. This model is studied using singular value decomposition of F and X. Then it is possible to determine the estimable part, say \(\beta^{(e)}\), of \(\beta\) and to exhibit a linear estimator of \(\beta^{(e)}\). Its properties, including optimality, are proved.
0 references
general Gauss-Markov linear model
0 references
generalized linear least squares problem
0 references
best linear unbiased estimator
0 references
covariance structure
0 references
estimation error
0 references
generalized singular value decomposition
0 references
linear estimator
0 references
optimality
0 references