Error bounds for computed least squares estimators

DOI10.1016/J.LAA.2019.10.014MaRDI QIDQ2282771zbMATH OpenOpenAlexFDO

Authors Xiao-Wen Chang, Peng Kang, David Titley-Peloquin

Publication date 19 December 2019

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.laa.2019.10.014

zbMATH Keywords

least squareslinear regressionnormwise error boundsperturbation theoryprobabilistic tail boundsrounding errors

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Numerical solutions to overdetermined systems, pseudoinverses (65F20) Numerical computation of matrix norms, conditioning, scaling (65F35)

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Cites work

• Accuracy and Stability of Numerical Algorithms
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• scientific article; zbMATH DE number 6159604 (Why is no real title available?)
• Improved bounds for small-sample estimation
• Improved bounds on sample size for implicit matrix trace estimators
• LSMR: An Iterative Algorithm for Sparse Least-Squares Problems
• LSQR: An Algorithm for Sparse Linear Equations and Sparse Least Squares
• Numerical methods in matrix computations
• Randomized algorithms for estimating the trace of an implicit symmetric positive semi-definite matrix
• Sampling from large matrices
• Scaled total least squares fundamentals

Cited in

(8)

• The inefficiency of the least squares estimator and its bound
• A self-scaling G-transformation for weighted least squares problems
• EIV regression with bounded errors in data: total `least squares' with Chebyshev norm
• Finite sample performance of linear least squares estimation
• Error Bounds for Least Squares Gradient Estimates
• Bounds on the estimation error in the chain ladder method
• scientific article; zbMATH DE number 4189026 (Why is no real title available?)
• On the performance of the ordinary least squares method under an error component model.

Describes a project that uses

Uses Software

• LSQR
• LSMR
• CRAIG
• mctoolbox
• UTV

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