The Unified Framework of the Regularization Techniques
School of Science, Information Engineering University, 62 Kexue Road, Zhengzhou 450001, China
Abstract In this paper, the estimator is based on a linear transformation of the LS estimation.It provides an optimal solution to the true and a constrained covariance matrix. The regularization techniques are unified with the respect to filtering factors. Filtering factors and corresponding eigenvalue of error covariance matrix of some known regularization estimators as Tikhonov-Philips regularization, truncated singular value decomposition, generalized ridge regression and others are provided.
Key words :
LS estimation
covariance matrix
regularization
filtering factor
Received: 08 March 2014
Published: 06 February 2015
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