Approximate guaranteed estimates for matrices in linear regression problems with a small parameter

Authors

DOI:

https://doi.org/10.20535/SRIT.2308-8893.2020.4.07

Keywords:

linear estimation, unbiased estimates, guaranteed mean square error, linear operator equations, pseudo inverse matrices, small parameter, perturbed known observation matrices

Abstract

The problem of finding linear unbiased estimates of the linear operator of unknown matrices — components of the observations vector, is investigated. It is assumed that the observation vector additively depends on a random vector with zero expected value, and the unknown correlation matrix belongs to a known bounded set. For the introduced class of linear estimates, necessary and sufficient conditions for the existence of solutions of operator equations that determine the unknown parameters of the vector estimate, are proved. The form of the guaranteed mean square error of the estimate is introduced on the sets of constraints of the problem parameters. The influence on the linear unbiased estimate of small perturbations of known rectangular matrices, which are the composites of the observations vector components, is also investigated. The analytical form is given through the parameters of the perturbed set of singularities for the introduced special operators that depend on a small parameter, which determine the corresponding operator equations, as well as their approximate solutions, in the first approximation of the small parameter method. A test example of solving the problem of finding a linear unbiased estimate under the condition of perturbation of both linearly independent and linearly dependent known observation matrices is presented.

Author Biographies

Oleksandr Nakonechnyi, Taras Shevchenko National University of Kyiv, Kyiv

Oleksandr G. Nakonechnyi,

a professor, Doctor of Physical and Mathematical Sciences, the head of the Department of System Analysis and Decision Making Theory of the Faculty of Computer Science and Cybernetics of Taras Shevchenko National University of Kyiv, Kyiv, Ukraine.

Grygoriy Kudin, Taras Shevchenko National University of Kyiv, Kyiv

Grygoriy I. Kudin,

an associate professor, Candidate of Physical and Mathematical Sciences (Ph.D.), a junior research fellow at the Research Sector of Problems of System Analysis of the Faculty of Computer Science and Cybernetics of Taras Shevchenko National University of Kyiv, Kyiv, Ukraine.

Petro Zinko, Taras Shevchenko National University of Kyiv, Kyiv

Petro M. Zinko,

Candidate of Physical and Mathematical Sciences, an associate professor at the Department of System Analysis and Decision Making Theory of the Faculty of Computer Science and Cybernetics of Taras Shevchenko National University of Kyiv, Kyiv, Ukraine.

Taras Zinko, Taras Shevchenko National University of Kyiv, Kyiv

Taras P. Zinko,

Candidate of Physical and Mathematical Sciences (Ph.D.), a junior research fellow at the Research Sector of Problems of System Analysis of the Faculty of Computer Science and Cybernetics of Taras Shevchenko National University of Kyiv, Kyiv, Ukraine.

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Published

2020-12-29

Issue

Section

Methods of optimization, optimum control and theory of games