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Maximum likelihood and generalized spatial two-stage least-squares estimators for a spatial-autoregressive model with spatial-autoregressive disturbances
spreg spatial-autoregressive models
2015/9/24
We describe the spreg command, which implements a maximum
likelihood estimator and a generalized spatial two-stage least-squares estimator
for the parameters of a linear cross-sectional spatial-auto...
Least-Squares Covariance Matrix Adjustment
matrix nearness problems covariance matrix least-squares
2015/7/10
We consider the problem of finding the smallest adjustment to a given symmetric n by n matrix, as measured by the Euclidean or Frobenius norm, so that it satisfies some given linear equalities and ine...
Grid-Based Simulation and the Method of Conditional Least Squares
Grid-Based Simulation Method Conditional Least Squares
2015/7/8
This paper is concerned with the use of simulation to compute the conditional expectations that arise in the method of conditional least squares. Our approach involves performing simulations at each p...
Algorithm 937: MINRES-QLP for Symmetric and Hermitian Linear Equations and Least-Squares Problems
Symmetric Hermitian Linear
2015/7/3
If the system is singular, MINRES-QLP computes the unique
minimum-length solution (also known as the pseudoinverse solution), which generally eludes MINRES. In
all cases, it overcomes a potential in...
Cholesky-based Methods for Sparse Least Squares: The Beneˉts of Regularization
Sparse Least Squares Regularization
2015/7/3
We study the use of black-box LDL
T
factorizations for solving the augmented
systems (KKT systems) associated with least-squares problems and barrier methods
for linear programming (LP). With judi...
LEAST SQUARES ESTIMATION OF DISCRETE LINEAR DYNAMIC SYSTEMS USING ORTHOGONAL TRANSFORMATIONS
DISCRETE LINEAR DYNAMIC SYSTEMS ORTHOGONAL TRANSFORMATIONS
2015/7/3
Kalman [9] introduced a method for estimating the state of a discrete linear dynamic
system subject to noise. His method is fast but has poor numerical properties. Duncan and Horn [3]
showed that th...