×

Inconsistencies in SURE models: Computational aspects. (English) Zbl 0964.62052

Summary: The solution of the SURE model with singular variance-covariance matrix results in redundancies and possibly inconsistencies among the observations of the model. A numerical procedure is proposed and investigated that generates a consistent model from an inconsistent one. The use of SVD has been used to compute the various factorizations arising in the solution of the SURE model when treated as a generalized linear least squares problem.

MSC:

62J05 Linear regression; mixed models
65C60 Computational problems in statistics (MSC2010)
62P20 Applications of statistics to economics
PDFBibTeX XMLCite
Full Text: DOI