Covariance Matrices for Parameter Estimates of Constrained Parameter Estimation Problems

In this paper we show how, based on the conjugate gradient method, to compute the covariance matrix of parameter estimates and confidence intervals for constrained parameter estimation problems as well as their derivatives.

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Bibliographic Details
Published in:SIAM journal on matrix analysis and applications 2007-01, Vol.29 (2), p.626-642
Main Authors: Bock, Hans Georg, Kostina, Ekaterina, Kostyukova, Olga
Format: Article
Language:English
Subjects:
Accuracy
Approximation
Boundary value problems
Design of experiments
Design optimization
Estimates
Iterative methods
Linear algebra
Methods
Parameter estimation
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Description
Summary:In this paper we show how, based on the conjugate gradient method, to compute the covariance matrix of parameter estimates and confidence intervals for constrained parameter estimation problems as well as their derivatives.
ISSN:0895-4798
1095-7162
DOI:10.1137/040617893