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Parameter Estimation, Variance Components and Statistical Analysis in Errors-in-Variables Models

  • Peiliang XuEmail author
Living reference work entry
Part of the Springer Reference Naturwissenschaften book series (SRN)

Zusammenfassung

Der Beitrag diskutiert statistische und numerische Aspekte von (,,errors-in-variable“) EIV-Modellen mit oder ohne Nebenbedingungen. Die Parameter in einem EIV-Modell lassen sich oftmals unter Benutzung dreier methodischer Kategorien bewerten: konventionelle gewichtete LS-Methode, normierte orthogonale Regression und gewichtete TLS-Methode. Die vorliegende Arbeit beschftigt sich mit der Reformulierung eines EIV-Models als nichtlineares Ausgleichungsmodell ohne Nebenbedingungen.

Keywords

Errors-in-variables Estimability of variance components Nonlinear adjustment Orthogonal regression Total least squares Variance components Weighted least squares 

Abstract

This chapter discusses statistical and numerical aspects of constrained and unconstrained errors-in-variables (EIV) models. The parameters in an EIV model can often be estimated by using three categories of methods: the conventional weighted least squares (LS) method, normed orthogonal regression, and the weighted total least squares (TLS) method. The conventional weighted LS method is of significantly computational advantage but not rigorous statistically. We systematically investigate the effects of random errors in the design matrix on the weighted LS estimates of parameters and variance components, construct the N-calibrated almost unbiased weighted LS estimator of parameters and derive almost unbiased estimates for the variance of unit weight. Although orthogonal regression can be used to estimate the parameters in an EIV model, it is not statistically optimal either. The weighted TLS method is most rigorous and optimal to statistically estimate the parameters in an EIV model at the cost of substantially increasing computation. We reformulate an EIV model as a nonlinear adjustment model without constraints and investigate the statistical effects of nonlinearity on the nonlinear TLS estimate, including the first order approximation of accuracy, nonlinear confidence region and bias of the nonlinear TLS estimate. Closed form solutions to coordinate transformation have been presented as well. Finally, we prove that variance components in an EIV model with the simplest stochastic structure are not estimable.

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Authors and Affiliations

  1. 1.Disaster Prevention Research InstituteKyoto UniversityUji, KyotoJapan

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