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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...