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Knüsel, Leo (2009): The General Linear Model and the Generalized Singular Value Decomposition. Department of Statistics: Technical Reports, No.48

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Abstract

The general linear model with correlated error variables can be transformed by means of the generalized singular value decomposition to a very simple model (canonical form) where the least squares solution is obvious. The method works also if X and the covariance matrix of the error variables do not have full rank or are nearly rank deficient (rank-k approximation). By backtransformation one obtains the solution for the original model.

Item Type:Paper (Technical Report)
Keywords:General linear model, canonical form, generalized singular value decomposition, CS-decomposition of an orthogonal matrix, multicollinearity, rank-k approximation.
Subjects:Mathematics, Computer Science and Statistics > Statistics > Technical Reports
Dewey Classification:600 Natural sciences and mathematics > 510 Mathematics
URN:urn:nbn:de:bvb:19-epub-9185-1
Language:English
ID Code:9185
Deposited On:29. Jan 2009 17:11
Last Modified:28. Jun 2010 15:22
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