Extended Iterative Weighted Least Squares: Estimation of a Linear Model in the Presence of Complications

摘要

The paper introduces an extended iterative weighted least squares procedure for solution of a classical problem in analysis of scientific and technical information: estimation in the presence of complications, of the coefficients for linearly independent component signals in a linear model, from observations on the component signals and a composite signal containing the linear model plus noise which is nonstationary and/or correlated with unknown covariance matrix. (Author)