APPLICATION OF L-CURVE METHOD TO EQUIVALENT WEIGHT ROBUST RIDGE ESTIMAION MODEL
L曲线法在等价权抗差岭估计模型中的应用

An equivalent weight robust ridge estimation model is derived according to the idea of robust estimation for correlated observations,and then the L-curve method is introduced to this model for the solution of ridge parameters.In the iterative process,equivalent weight matrix may be non positive definite so it can not be unitized through classical Cholesky decomposition.According to the characteristic of bifactor model,an algorithm of equivalent weight matrix decomposition is proposed to solve this problem,then the L-curve method can be successfully used in this process.The calculated example manifests that this model can effectively eliminate the influence of coefficient matrix’s morbidity and gross errors.