Improved Bounds for Small-Sample Estimation

Improved Bounds for Small-Sample Estimation

We derive improved error bounds for small-sample statistical estimation of the matrixFrobenius norm. The bounds rigorously establish that small-sample estimators provide reliable order-of-magnitude estimates of norms and condition numbers, for matrices of arbitrary rank, even whenvery few random sam...

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Veröffentlicht in:SIAM journal on matrix analysis and applications 2018-01, Vol.39 (2), p.922-931
Hauptverfasser: Gratton, Serge, Titley-Peloquin, David
Format: Artikel
Sprache:eng
Schlagworte:
Computer Science
Numerical Analysis
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Zusammenfassung:We derive improved error bounds for small-sample statistical estimation of the matrixFrobenius norm. The bounds rigorously establish that small-sample estimators provide reliable order-of-magnitude estimates of norms and condition numbers, for matrices of arbitrary rank, even whenvery few random samples are used.
ISSN:0895-4798
1095-7162
DOI:10.1137/17M1137541