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2008.113: Numerical Linear Algebra in Statistical Computing

2008.113: Nicholas J. Higham and G. W. Stewart (1987) Numerical Linear Algebra in Statistical Computing. In: A. Iserles and M. J. D. Powell, (eds). 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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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 2000 > 62 Statistics
MSC 2000 > 65 Numerical analysis
MIMS number:2008.113
Deposited By:Nick Higham
Deposited On:23 November 2008

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