线性系统中的变量误差

Errors in Variables in Linear Systems

Econometrica · 1987
被引 52
人大 A+FT50ABS 4*

中文导读

将简单的变量误差界扩展到方程组设定,考虑对角和非对角测量误差协方差矩阵,给出估计量的几何特征。

Abstract

This paper extends the simple errors-in-variable bound to the setting of systems of equations. Both diagonal and nondiagonal measurement error covariance matrices are considered. In the nondiagonal case, the analogue of the simple errors-in-variable interval of estimates is an ellipsoid with diagonal equal to the line segment connecting the direct least squares with a two-stage least squares estimate. For the diagonal case, the set of estimates under some conditions must lie within the convex hull of 2k points.

变量误差线性系统估计椭球两阶段最小二乘