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  2. Weighted least squares - Wikipedia

    en.wikipedia.org/wiki/Weighted_least_squares

    Weighted least squares (WLS), also known as weighted linear regression, [1] [2] is a generalization of ordinary least squares and linear regression in which knowledge of the unequal variance of observations (heteroscedasticity) is incorporated into the regression.

  3. Iteratively reweighted least squares - Wikipedia

    en.wikipedia.org/wiki/Iteratively_reweighted...

    The method of iteratively reweighted least squares (IRLS) is used to solve certain optimization problems with objective functions of the form of a p-norm: ⁡ = | |, by an iterative method in which each step involves solving a weighted least squares problem of the form: [1]

  4. Least squares - Wikipedia

    en.wikipedia.org/wiki/Least_squares

    The result of fitting a set of data points with a quadratic function Conic fitting a set of points using least-squares approximation. In regression analysis, least squares is a parameter estimation method based on minimizing the sum of the squares of the residuals (a residual being the difference between an observed value and the fitted value provided by a model) made in the results of each ...

  5. Reduced chi-squared statistic - Wikipedia

    en.wikipedia.org/wiki/Reduced_chi-squared_statistic

    In ordinary least squares, the definition simplifies to: =, =, where the numerator is the residual sum of squares (RSS). When the fit is just an ordinary mean, then χ ν 2 {\displaystyle \chi _{\nu }^{2}} equals the sample variance , the squared sample standard deviation .

  6. Linear least squares - Wikipedia

    en.wikipedia.org/wiki/Linear_least_squares

    Linear least squares (LLS) is the least squares approximation of linear functions to data. It is a set of formulations for solving statistical problems involved in linear regression , including variants for ordinary (unweighted), weighted , and generalized (correlated) residuals .

  7. Heteroskedasticity-consistent standard errors - Wikipedia

    en.wikipedia.org/wiki/Heteroskedasticity...

    Generalized least squares; Generalized estimating equations; Weighted least squares, an alternative formulation; White test — a test for whether heteroskedasticity is present. Newey–West estimator; Quasi-maximum likelihood estimate

  8. Low-rank approximation - Wikipedia

    en.wikipedia.org/wiki/Low-rank_approximation

    The original problem is therefore equivalent to the nonlinear least squares problem of minimizing () with respect to . For this purpose standard optimization methods, e.g. the Levenberg-Marquardt algorithm can be used. Matlab implementation of the variable projections algorithm for weighted low-rank approximation:

  9. Non-linear least squares - Wikipedia

    en.wikipedia.org/wiki/Non-linear_least_squares

    Non-linear least squares is the form of least squares analysis used to fit a set of m observations with a model that is non-linear in n unknown parameters (m ≥ n). It is used in some forms of nonlinear regression. The basis of the method is to approximate the model by a linear one and to refine the parameters by successive iterations.

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