论文信息 - On the pseudoinverse of a sum of symmetric matrices with applications to estimation

On the pseudoinverse of a sum of symmetric matrices with applications to estimation

A new formula for the pseudoinverse of a sum of symmetric matrices is presented, valid for arbitrary symmetric matrices without any restrictions relating to their column — or row — spaces. As an application of this formula a generalized version of the estimate minimizing the penalty is developed. This makes it possible to show that in a general case of estimation the problem is decomposed into two independent problems. One of them is related to data belonging to a subspace containing signal components but no noise components. This part of the problem can be easily solved, the result of estimation performed on this part of data being error-free.

Pavel Kovanic | P. Kovanic

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