Errors in Variables in Linear Systems

Abstract

This paper extends the simple errors-in-variable bound to the setting of systems of equations. Both diagonal and nondiagonal measurement error covariance matrices are considered. In the nondiagonal case, the analogue of the simple errors-in-variable interval of estimates is an ellipsoid with diagonal equal to the line segment connecting the direct least squares with a two-stage least squares estimate. For the diagonal case, the set of estimates under some conditions must lie within the convex hull of 2k points.