A Robust Algorithm of Total Least Squares Method

Yong-Jin CHOI  Jin-Young KIM  K.M. SUNG  

IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences   Vol.E80-A   No.7   pp.1336-1339
Publication Date: 1997/07/25
Online ISSN: 
Print ISSN: 0916-8508
Type of Manuscript: LETTER
Category: Digital Signal Processing
TLS,  robust signal processing,  system identification,  

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The TLS method is an unbiased estimator for solving the overdetermined set of linear equations when errors occur in all data. However it doesn't show robustness while the errors have a heavy tailed pdf. In this letter we derive a robust method of TLS (ROTLS) based on the characteristics of TLS solution, where the performance of ROTLS is verified by applying it to the system identification problem.