Asymptotic normality of total least squares estimator in a multivariate errors-in-variables model AX = B

DOI10.15559/16-VMSTA50MaRDI QIDQ340809zbMATH OpenFDO

Authors Yaroslav Tsaregorodtsev, A. Kukush

Publication date 15 November 2016

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1604.01591

zbMATH Keywords

asymptotic normalitytotal least squaresmultivariate errors-in-variables model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Asymptotic distribution theory in statistics (62E20) Parametric tolerance and confidence regions (62F25) Estimation in multivariate analysis (62H12)

Abstract: We consider a multivariate functional measurement error model $AXapproxB$. The errors in $[A,B]$ are uncorrelated, row-wise independent, and have equal (unknown) variances. We study the total least squares estimator of $X$, which, in the case of normal errors, coincides with the maximum likelihood one. We give conditions for asymptotic normality of the estimator when the number of rows in $A$ is increasing. Under mild assumptions, the covariance structure of the limit Gaussian random matrix is nonsingular. For normal errors, the results can be used to construct an asymptotic confidence interval for a linear functional of $X$.

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Cites work

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• Asymptotics for weakly dependent errors-in-variables
• Consistency of elementwise-weighted total least squares estimator in a multivariate errors-in-variables model \(AX=B\)
• The element-wise weighted total least-squares problem

Cited in

(7)

• ADAPTIVE ESTIMATORS OF A MEAN MATRIX: TOTAL LEAST SQUARES VERSUS TOTAL SHRINKAGE
• The asymptotic normality of an adjusted least squares estimator in a multivariate vector errors-in-variables regression model
• A novel dictionary learning method based on total least squares approach with application in high dimensional biological data
• Erratum to: ``Asymptotic normality of total least squares estimator in a multivariate errors-in-variables model \(AX = B\)
• Goodness-of-fit test in a multivariate errors-in-variables model \(AX = B\)
• Non-existence of the first moment of the adjusted least squares estimator in multivariate errors-in-variables model
• Asymptotic normality of element-wise weighted total least squares estimator in a multivariate errors-in-variables model

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