Reduced-rank Analysis of the Total Least Squares

Abstract

The reduced-rank method exploits the distortion-variance tradeoff to yield superior solutions for classic problems in statistical signal processing such as parameter estimation and filtering. The central idea is to reduce the variance of the solution at the expense of introducing a little distortion. In the context of parameter estimation, this yields an estimator whose sum of distortion plus variance is smaller than the variance of its undistorted counterpart. The method intrinsically results in an ordering mechanism for the singular vectors of the system matrix in the measurement model used for estimating the parameter of interest. According to this ordering rule, only a few \emph{dominant} singular vectors need to be selected to construct the reduced-rank solution while the rest can be discarded. The reduced-rank estimator is less sensitive to measurement errors. In this paper, we attempt to derive the reduced-rank estimator for the total least squares (TLS) problem, including the order selection rule. It will be shown that, due to the inherent structure of the problem, it is not possible to exploit the distortion-variance tradeoff in TLS formulations using existing techniques, except in some special cases. This result has not been reported previously and warrants a new viewpoint to achieve rank reduction for the TLS estimation problem. The work is motivated by the problems arising in practical applications such as channel estimation in wireless communication systems and time synchronization in wireless sensor networks.