The general linear model of the generalized singular value decomposition

DOI10.1016/0024-3795(85)90059-XMaRDI QIDQ1072313zbMATH OpenFDO

Authors Christopher C. Paige

Publication date 1985

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

Full work available at URL https://doi.org/10.1016/0024-3795(85)90059-X

zbMATH Keywords

best linear unbiased estimatorcovariance structureestimation errorgeneral Gauss-Markov linear modelgeneralized linear least squares problemgeneralized singular value decompositionlinear estimatoroptimality

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Point estimation (62F10) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Review text

The following linear model is considered: \[ y=X\beta +w,\quad with\quad E(w)=0\quad and\quad V(w)=\sigma^ 2W. \] X is an \(n\times q\)-matrix and W is an \(n\times n\) matrix with rank k. W can be written as \(W=FF'\) where F is an \(n\times k\)-matrix. This model is studied using singular value decomposition of F and X. Then it is possible to determine the estimable part, say \(\beta^{(e)}\), of \(\beta\) and to exhibit a linear estimator of \(\beta^{(e)}\). Its properties, including optimality, are proved.

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Cited in

(13)

• A note on the hyperbolic singular value decomposition
• Some further remarks on the singular linear model
• Rank decisions in matrix quotient decompositions
• Numerical treatment of restricted gauss-markov model¹
• scientific article; zbMATH DE number 3986458 (Why is no real title available?)
• A generalization of the structured singular value and its application to model validation
• scientific article; zbMATH DE number 1923163 (Why is no real title available?)
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