The estimation problem in the linear model with prior information on a subvector of parameters is studied. The recursive least squares algorithm is extended to the case of singular matrices of ...

Abstract Let A be an n × n Hermitian matrix and A = UΛUH be its spectral decomposition, where U is a unitary matrix of order n and Λ is a diagonal matrix. In this note we present the perturbation ...

THE problem of ‘inverting’ singular matrices is by no means uncommon in statistical analysis. Rao 1 has shown in a lemma that a generalized inverse (g-inverse) always exists, although in the case of a ...

The estimated covariance matrix of the parameter estimates is computed as the inverse Hessian matrix, and for unconstrained problems it should be positive definite. If the final parameter estimates ...