Numerical Linear Algebra in Statistical Computing

Higham, Nicholas J. and Stewart, G. W. (1987) Numerical Linear Algebra in Statistical Computing. In: The State of the Art in Numerical Analysis. Oxford University Press, Oxford, UK, pp. 41-57. ISBN 0-19-853614-3

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Abstract

Some of the factors to be considered when applying the techniques of numerical linear algebra to statistical problems are discussed with reference to three particular examples: the use of the normal equations in regression problems; the use of perturbation theory to assess the effects of errors in regression matrices; and the phenomenon of benign degeneracy, in which the numerical problem becomes more difficult even as the associated statistical problem becomes easier.

Item Type: Book Section
Subjects: MSC 2010, the AMS's Mathematics Subject Classification > 62 Statistics
MSC 2010, the AMS's Mathematics Subject Classification > 65 Numerical analysis
Depositing User: Nick Higham
Date Deposited: 23 Nov 2008
Last Modified: 20 Oct 2017 14:12
URI: https://eprints.maths.manchester.ac.uk/id/eprint/1195

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