On the Prediction Efficiency of the Generalized Least Squares Model with an Estimated Variance Covariance Matrix

1979 ◽  
Vol 20 (3) ◽  
pp. 693 ◽  
Author(s):  
Taku Yamamoto
1965 ◽  
Vol 19 (1) ◽  
pp. 78-83
Author(s):  
Peter Wilson

Several methods for solving normal equations in least squares solutions are explained and the variance-covariance matrix is developed from the law of error propagation.


Methodology ◽  
2007 ◽  
Vol 3 (1) ◽  
pp. 1-13 ◽  
Author(s):  
Guillermo Vallejo ◽  
María P. Fernández ◽  
Pablo E. Livacic-Rojas

Abstract. This article compares the sensibility of the modified Brown-Forsythe (MBF) approach developed by Vallejo and Ato (2006) and a modified empirical generalized least squares (EGLS) method adjusted by the Kenward-Roger solution available in the SAS Institute's (2002) Proc Mixed program to detect the presence of an interaction effect under departures from covariance homogeneity and multivariate normality. Although none of the approaches demonstrated superior performance in all situations, our results indicate that the so-called EGLS method, based on the Akaike's Information Criterion or based on always assuming a unstructured between-subjects heterogeneous covariance pattern, was the most powerful alternative. Results also indicate that little power can be achieved with the EGLS method if the covariance matrix is specified correctly.


2009 ◽  
Vol 26 (12) ◽  
pp. 2642-2654 ◽  
Author(s):  
M. Gilcoto ◽  
Emlyn Jones ◽  
Luis Fariña-Busto

Abstract An extended explanation of the hypothesis and equations traditionally used to transform between four-beam ADCP radial beam velocities and current velocity components is presented. This explanation includes a dissertation about the meaning of the RD Instrument error velocity and a description of the standard beam-to-current components transformation as a least squares solution. Afterward, the variance–covariance matrix associated with the least squares solution is found. Then, a robust solution for transforming radial beam velocities into current components is derived under the formality of a weighted least squares approach. The associated variance–covariance matrix is also formulated and theoretically proves that the modulus of its elements will be generally lower than the corresponding modulus of the variance–covariance matrix associated with the standard least squares solution. Finally, a comparison between the results obtained using the standard least squares solution and the results of the weighted least squares method, using a high-resolution ADCP dataset, is presented. The results show that, in this case, the weighted least squares solution provides variance estimations that are 4% lower over the entire record period (8 days) and 7% lower during a shorter, more energetic period (12 h).


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