scholarly journals The Gaussian Maximum-Likelihood Estimator Versus the Optimally Weighted Least-Squares Estimator [Lecture Notes]

2020 ◽  
Vol 37 (6) ◽  
pp. 195-199
Author(s):  
Mohamed Rasheed-Hilmy Abdalmoaty ◽  
Hakan Hjalmarsson ◽  
Bo Wahlberg
2018 ◽  
Vol 616 ◽  
pp. A95 ◽  
Author(s):  
Sebastian Espinosa ◽  
Jorge F. Silva ◽  
Rene A. Mendez ◽  
Rodrigo Lobos ◽  
Marcos Orchard

Context. Astrometry relies on the precise measurement of the positions and motions of celestial objects. Driven by the ever-increasing accuracy of astrometric measurements, it is important to critically assess the maximum precision that could be achieved with these observations. Aims. The problem of astrometry is revisited from the perspective of analyzing the attainability of well-known performance limits (the Cramér–Rao bound) for the estimation of the relative position of light-emitting (usually point-like) sources on a charge-coupled device (CCD)-like detector using commonly adopted estimators such as the weighted least squares and the maximum likelihood. Methods. Novel technical results are presented to determine the performance of an estimator that corresponds to the solution of an optimization problem in the context of astrometry. Using these results we are able to place stringent bounds on the bias and the variance of the estimators in close form as a function of the data. We confirm these results through comparisons to numerical simulations under a broad range of realistic observing conditions. Results. The maximum likelihood and the weighted least square estimators are analyzed. We confirm the sub-optimality of the weighted least squares scheme from medium to high signal-to-noise found in an earlier study for the (unweighted) least squares method. We find that the maximum likelihood estimator achieves optimal performance limits across a wide range of relevant observational conditions. Furthermore, from our results, we provide concrete insights for adopting an adaptive weighted least square estimator that can be regarded as a computationally efficient alternative to the optimal maximum likelihood solution. Conclusions. We provide, for the first time, close-form analytical expressions that bound the bias and the variance of the weighted least square and maximum likelihood implicit estimators for astrometry using a Poisson-driven detector. These expressions can be used to formally assess the precision attainable by these estimators in comparison with the minimum variance bound.


2020 ◽  
Vol 9 (6) ◽  
pp. 108
Author(s):  
Phil D. Young ◽  
Joshua D. Patrick ◽  
Dean M. Young

We provide a new, concise derivation of necessary and sufficient conditions for the explicit characterization of the general nonnegative-definite covariance structure V of a general Gauss-Markov model with E(y) and Var(y) such that the best linear unbiased estimator, the weighted least squares estimator, and the least squares estimator of Xβ are identical. In addition, we derive a representation of the general nonnegative-definite covariance structure V defined above in terms of its Moore-Penrose pseudo-inverse.


1986 ◽  
Vol 2 (1) ◽  
pp. 1-32 ◽  
Author(s):  
T. W. Anderson ◽  
Naoto Kunitomo ◽  
Kimio Morimune

Comparisons of estimators are made on the basis of their mean squared errors and their concentrations of probability computed by means of asymptotic expansions of their distributions when the disturbance variance tends to zero and alternatively when the sample size increases indefinitely. The estimators include k-class estimators (limited information maximum likelihood, two-stage least squares, and ordinary least squares) and linear combinations of them as well as modifications of the limited information maximum likelihood estimator and several Bayes' estimators. Many inequalities between the asymptotic mean squared errors and concentrations of probability are given. Among medianunbiasedestimators, the limited information maximum likelihood estimator dominates the median-unbiased fixed k-class estimator.


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