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

DOI10.15559/16-VMSTA50zbMATH Open1419.62167arXiv1604.01591MaRDI QIDQ340809FDOQ340809

Yaroslav Tsaregorodtsev, A. Kukush

Publication date: 15 November 2016

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

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 $X$.

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Consistency of elementwise-weighted total least squares estimator in a multivariate errors-in-variables model \(AX=B\)
• Asymptotics for weakly dependent errors-in-variables
• The element-wise weighted total least-squares problem

Cited In (3)

• A novel dictionary learning method based on total least squares approach with application in high dimensional biological data
• 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

This page was built for publication: Asymptotic normality of total least squares estimator in a multivariate errors-in-variables model \(AX = B\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q340809)