The Penrose Moore Pseudo Inverse with Statistical Applications. Part II. Statistical Applications.
Abstract
The Penrose-Moore Pseudo Inverse extends the notion of 'inverse' for square nonsingular matrices to the class of all rectangular matrices. In these reports the author develops the essential properties with applications to the theory of equations, constrained and unconstrained least squares, nonnegative definiteness, perturbation theory and the singular decomposition theorem. Various computational algorithms are developed and additional results are derived which apply to various statistical topics, such as the General Linear Hypothesis (BLUE'S, Orthogonal Designs, tests and confidence sets) Conditional Expectations for vector normal variables and Kalman Filtering. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Jun 15, 1971
- Accession Number
- AD0726692
Entities
People
- Arthur Albert
Organizations
- Stanford University