Three Definitions of Best Linear Approximation
ROCK ISLAND ARSENAL IL GENERAL THOMAS J RODMAN LAB
Pagination or Media Count:
Three definitions of best in the least squares sense linear approximation to given data points are presented. The relationships between these three area discussed along with their relationship to basic statistics such as mean values, the covariance matrix, and the linear correlation coefficient. For each of the three definitions, and best line is solved in closed form in terms of the data centroid and the covariance matrix.
- Statistics and Probability