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Estimating large-scale general linear and seemingly unrelated regressions models after deleting observations

Hadjiantoni, Stella and Kontoghiorghes, Erricos John (2017) 'Estimating large-scale general linear and seemingly unrelated regressions models after deleting observations.' Statistics and Computing, 27 (2). pp. 349-361. ISSN 0960-3174

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A new numerical method to solve the downdating problem (and variants thereof), namely removing the effect of some observations from the generalized least squares (GLS) estimator of the general linear model (GLM) after it has been estimated, is extensively investigated. It is verified that the solution of the downdated least squares problem can be obtained from the estimation of an equivalent GLM, where the original model is updated with the imaginary deleted observations. This updated GLM has a non positive definite dispersion matrix which comprises complex covariance values and it is proved herein to yield the same normal equations as the downdated model. Additionally, the problem of deleting observations from the seemingly unrelated regressions model is addressed, demonstrating the direct applicability of this method to other multivariate linear models. The algorithms which implement the novel downdating method utilize efficiently the previous computations from the estimation of the original model. As a result, the computational cost is significantly reduced. This shows the great usability potential of the downdating method in computationally intensive problems. The downdating algorithms have been applied to real and synthetic data to illustrate their efficiency.

Item Type: Article
Uncontrolled Keywords: Downdating; Generalized least squares; Singular dispersion matrix; Seemingly unrelated regressions; Updating
Divisions: Faculty of Science and Health
Faculty of Science and Health > Mathematical Sciences, Department of
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 12 Nov 2020 13:30
Last Modified: 06 Jan 2022 14:03

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