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As Good as GOLD: Gram–Schmidt Orthogonalization by Another Name

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  • Michael D. Hunter

    (University of Oklahoma Health Sciences Center)

Abstract

Generalized orthogonal linear derivative (GOLD) estimates were proposed to correct a problem of correlated estimation errors in generalized local linear approximation (GLLA). This paper shows that GOLD estimates are related to GLLA estimates by the Gram–Schmidt orthogonalization process. Analytical work suggests that GLLA estimates are derivatives of an approximating polynomial and GOLD estimates are linear combinations of these derivatives. A series of simulation studies then further investigates and tests the analytical properties derived. The first study shows that when approximating or smoothing noisy data, GLLA outperforms GOLD, but when interpolating noisy data GOLD outperforms GLLA. The second study shows that when data are not noisy, GLLA always outperforms GOLD in terms of derivative estimation. Thus, when data can be smoothed or are not noisy, GLLA is preferred whereas when they cannot then GOLD is preferred. The last studies show situations where GOLD can produce biased estimates. In spite of these possible shortcomings of GOLD to produce accurate and unbiased estimates, GOLD may still provide adequate or improved model estimation because of its orthogonal error structure. However, GOLD should not be used purely for derivative estimation because the error covariance structure is irrelevant in this case. Future research should attempt to find orthogonal polynomial derivative estimators that produce accurate and unbiased derivatives with an orthogonal error structure.

Suggested Citation

  • Michael D. Hunter, 2016. "As Good as GOLD: Gram–Schmidt Orthogonalization by Another Name," Psychometrika, Springer;The Psychometric Society, vol. 81(4), pages 969-991, December.
    • Handle: RePEc:spr:psycho:v:81:y:2016:i:4:d:10.1007_s11336-016-9511-3
    DOI: 10.1007/s11336-016-9511-3
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    1. Manshu Yang & Sy-Miin Chow, 2010. "Using State-Space Model with Regime Switching to Represent the Dynamics of Facial Electromyography (EMG) Data," Psychometrika, Springer;The Psychometric Society, vol. 75(4), pages 744-771, December.
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