Bias reduction in parameter estimation

DOI10.1016/0005-1098(88)90059-3MaRDI QIDQ1112003zbMATH OpenOpenAlexFDO

Authors S. H. Smith

Publication date 1988

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0005-1098(88)90059-3

zbMATH Keywords

biascondition numberextended matrixgeneralized least squaresinstrumental variablesspectral norm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Review text

The upper bound of the bias in the estimated parameters is derived in terms of the spectral norm. It is then established that the bias is related to the condition of the problem as well as the noise existing in the data. Conventional methods such as the generalized least squares (GLDS), the instrumental variables (IV) and the extended matrix (EM) method seek to minimize bias by reducing the level of noise correlation in the data. The method presented in this paper approaches the bias reduction problem via the condition number, which acts as a multiply factor on the bias due to noise correlation. By improving the condition of the problem, it can be shown that bias in the estimated parameters is significantly reduced.

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Cites work

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(8)

• Bias reduction in the two-stage method for degradation data analysis
• Bias and Variance Reduction in Estimation of Model Dimension
• scientific article; zbMATH DE number 1995697 (Why is no real title available?)
• A new method for estimating complex exponentials to fit signals using samples of the signal and its derivative (or integral)
• Bias reduction for the ratio of means
• Reducing bias without prejudicing sign
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