Summary
In applied statistics, total least squares is a type of errors-in-variables regression, a least squares data modeling technique in which observational errors on both dependent and independent variables are taken into account. It is a generalization of Deming regression and also of orthogonal regression, and can be applied to both linear and non-linear models. The total least squares approximation of the data is generically equivalent to the best, in the Frobenius norm, low-rank approximation of the data matrix. In the least squares method of data modeling, the objective function, S, is minimized, where r is the vector of residuals and W is a weighting matrix. In linear least squares the model contains equations which are linear in the parameters appearing in the parameter vector , so the residuals are given by There are m observations in y and n parameters in β with m>n. X is a m×n matrix whose elements are either constants or functions of the independent variables, x. The weight matrix W is, ideally, the inverse of the variance-covariance matrix of the observations y. The independent variables are assumed to be error-free. The parameter estimates are found by setting the gradient equations to zero, which results in the normal equations Now, suppose that both x and y are observed subject to error, with variance-covariance matrices and respectively. In this case the objective function can be written as where and are the residuals in x and y respectively. Clearly these residuals cannot be independent of each other, but they must be constrained by some kind of relationship. Writing the model function as , the constraints are expressed by m condition equations. Thus, the problem is to minimize the objective function subject to the m constraints. It is solved by the use of Lagrange multipliers. After some algebraic manipulations, the result is obtained. or alternatively where M is the variance-covariance matrix relative to both independent and dependent variables. When the data errors are uncorrelated, all matrices M and W are diagonal.
About this result
This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.
Related publications

No results

Related people

No results

Related units

No results

Related concepts

Loading

Related courses

Loading

Related lectures

Loading

Related MOOCs

No results