EXAMPLE 22.

1
RECALL THE LEAST SQUARES FIT OF POINTS TO A LINE IN SECTION 11.11.1.
IN THAT EXAMPLE, THE OBSERVED COORDINATE PAIRS WERE

A (3.00,4.50)
B (4.25,4.35)
C (5.50,5.50)
D (8.00,5.50)

STEP 1: COMPUTE THE INITIAL APPROXIMATIONS.

INITIAL VALUES FOR M AND B

y=mx + b

3.00m + b = 4.50 + Va
4.25m + b = 4.25 + Vb
5.50m + b = 5.50 + Vc
8.00m + b = 5.50 + Vd

AX = L + V
4x2 2x1 4x1 4x1
A X = L + V
3.00 1 m 4.50 Va
4.25 1 b 4.25 Vb
5.50 1 5.50 Vc
8.00 1 5.50 Vd

X = inv(AtA) * AtL
2x4 2x2 2x2
At AtA inv AtA
3 4.25 5.5 8 121.313 20.75 0.07314 -0.37943
1 1 1 1 20.75 4 -0.37943 2.21829

2x1
AtL X = inv(AtA) * AtL
105.8125 m = 0.246
19.75 b = 3.663

STEP 2: DEVELOP THE APPROPRIATE MATRICES.

8x8
Sigma (refer in page 467)
0.0004 0 0 0 0 0 0 0
0 0.00023 0 0 0 0 0 0
0 0 0.000529 0 0 0 0 0
0 0 0 0.001296 0 0 0 0
0 0 0 0 0.00109 0 0 0
0 0 0 0 0 0.00078 0 0
0 0 0 0 0 0 0.000256 0
0 0 0 0 0 0 0 0.00036

4X8
B
-0.246 1 0 0 0 0 0 0
0 0 -0.246 1 0 0 0 0
0 0 0 0 -0.246 1 0 0
0 0 0 0 0 0 -0.246 1

We = inv(BSigmaBt)
8x4
Bt
-0.245714286 0 0 0
1 0 0 0
0 -0.24571 0 0
0 1 0 0
 0 0 -0.2457143 0
0 0 1 0
0 0 0 -0.245714286
0 0 0 1

4x8
Bsigma
-9.82857E-05 0.00023 0 0 0 0 0 0
0 0 -0.00013 0.001296 0 0 0 0
0 0 0 0 -0.00027 0.00078 0 0
0 0 0 0 0 0 -6.29029E-05 0.00036

4x4
BsigmsBt
0.00024915 0 0 0
0 0.00133 0 0
0 0 0.0008497 0
0 0 0 0.000376456

4x4
We = inv(BSigmaBt)
4013.64311 0 0 0
0 753.047 0 0
0 0 1176.8182 0
0 0 0 2656.352012

STEP 3: SOLVE THE SYSTEM. 1ST ITERATION

X = inv(JtWeJ) * JtWeK

4X2 4X1
J K
-3.00 -1.00 -0.100
-4.25 -1.00 0.457
-5.50 -1.00 -0.486
-8.00 -1.00 0.129

2x4
Jt
-3.00 -4.25 -5.50 -8.00
-1.00 -1.00 -1.00 -1.00

2x4
JtWe
-12040.92933 -3200.45 -6472.5001 -21250.8161
-4013.64311 -753.047 -1176.8182 -2656.352012

2x2 2x2
JtWeJ inv(JtWeJ)
255329.9756 42964.7 2.45825E-05 -0.00012
42964.69455 8599.86 -0.000122813 0.00073

2x1
JtWeK
152.5684585
287.1807616

2x1
X = inv(JtWeJ) * JtWeK
m = -0.0315
b = 0.1909

STEP 4: APPLY THE CORRECTIONS.

m = 0.2142
b = 3.8537
STEP 5. SECOND ITERATION

8x8
Sigma (refer in page 467)
0.0004 0 0 0 0 0 0 0
0 0.00023 0 0 0 0 0 0
0 0 0.000529 0 0 0 0 0
0 0 0 0.001296 0 0 0 0
0 0 0 0 0.00109 0 0 0
0 0 0 0 0 0.00078 0 0
0 0 0 0 0 0 0.000256 0
0 0 0 0 0 0 0 0.00036

4X8
B
-0.214 1 0 0 0 0 0 0
0 0 -0.214 1 0 0 0 0
0 0 0 0 -0.214 1 0 0
0 0 0 0 0 0 -0.214 1

We = inv(BSigmaBt)
8x4
Bt
-0.214195141 0 0 0
1 0 0 0
0 -0.2142 0 0
0 1 0 0
0 0 -0.2141951 0
0 0 1 0
0 0 0 -0.214195141
0 0 0 1

4x8
Bsigma
-8.56781E-05 0.00023 0 0 0 0 0 0
0 0 -0.0001133 0.001296 0 0 0 0
0 0 0 0 -0.00023 0.00078 0 0
0 0 0 0 0 0 -5.4834E-05 0.00036

4x4
BsigmsBt
0.000243352 0 0 0
0 0.00132 0 0
0 0 0.000834 0
0 0 0 0.000372745

4x4
We = inv(BSigmaBt)
4109.276791 0 0 0
0 757.421 0 0
0 0 1199.0942 0
0 0 0 2682.798031

X = inv(JtWeJ) * JtWeK

4X2 4X1
J K
-3.00 -1.00 -0.004
-4.25 -1.00 0.514
-5.50 -1.00 -0.468
-8.00 -1.00 0.067

2x4
Jt
 -3.00 -4.25 -5.50 -8.00
-1.00 -1.00 -1.00 -1.00

2x4
JtWe
-12327.83037 -3219.04 -6595.0181 -21462.38425
-4109.276791 -757.421 -1199.0942 -2682.798031

2x2 2x2
JtWeJ inv(JtWeJ)
258636.0753 43604.3 2.42096E-05 -0.00012
43604.27053 8748.59 -0.000120664 0.00072

2x1
JtWeK
34.63385499
6.755466842

2x1
X = inv(JtWeJ) * JtWeK
m = 0.0000
b = 0.0007

CORRECTED PARAMETERS
m = 0.2142
b = 3.8544

Ve = JX - K JX - K Ve
Va = -0.0007 - -0.004 = 0.003
Vb = -0.0008 - 0.514 = -0.515
Vc = -0.0008 - -0.468 = 0.467
Vd = -0.0008 - 0.067 = -0.068

V = SigmaBtWeVe

8x4
SigmaBt
-8.56781E-05 0 0 0
0.000225 0 0 0
0 -0.00011 0 0
0 0.0013 0 0
0 0 -0.0002333 0
0 0 0.000784 0
0 0 0 -5.4834E-05
0 0 0 0.000361

8x4
SigmaBtWe
-0.352074849 0 0 0
0.924587278 0 0 0
0 -0.08582 0 0
0 0.98162 0 0
0 0 -0.2796989 0
0 0 0.9400898 0
0 0 0 -0.14710843
0 0 0 0.968490089

8x1
V = SigmaBtWeVe
Vxa = -0.0010
Vya = 0.0027
Vxb = 0.0442
Vyb = -0.5053
Vxc = -0.1307
Vyc = 0.4394
Vxd = 0.0100
Vyd = -0.0660

FOR THE REFERENCE VARIANCE: REFER TO EQUATION 22.13 ON PAGE 467

So squared = (VetWeVe)/r

1x4
Vet
0.002969 -0.5148 0.4674228 -0.068123348

1x4
VetWe
12.20044237 -389.923 560.484 -182.761185

1x1
VetWeVe r=4-2
475.2 r=2

So squared 237.602
So 15.4143 plus/minus