An improved algorithm for generalized least squares estimation

DOI10.3934/naco.2020044zbMath1456.62139OpenAlexW3091200949MaRDI QIDQ827568

David Titley-Peloquin, Xiao-Wen Chang

Publication date: 13 January 2021

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/naco.2020044

zbMATH Keywords

efficiencyblockingnumerical algorithmsmatrix factorizationsgeneralized least squares estimation

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Factorization of matrices (15A23) Numerical solutions to overdetermined systems, pseudoinverses (65F20) Least squares and related methods for stochastic control systems (93E24)

Uses Software

• LAPACK
• Julia

Cites Work

• Unnamed Item
• Julia: A Fresh Approach to Numerical Computing
• A Storage-Efficient $WY$ Representation for Products of Householder Transformations
• LAPACK Users' Guide
• A Constrained Least Squares Approach to the General Gauss-Markov Linear Model
• Fast Numerically Stable Computations for Generalized Linear Least Squares Problems
• Computer Solution and Perturbation Analysis of Generalized Linear Least Squares Problems
• Numerical Methods in Matrix Computations