The extended least-squares and the joint maximum-a-posteriori maximum-likelihood estimation criteria

Approximate model equations often relate given measurements to unknown parameters whose estimate is sought. The least-squares (LS) estimation criterion assumes the measured data to be exact, and seeks parameters which minimize the model errors. Existing extensions of LS, such as the total LS (TLS) and constrained TLS (CTLS) take the opposite approach, namely assume the model equations to be exact, and attribute all errors to measurement inaccuracies. We introduce the extended LS (XLS) criterion, which accommodates both error sources. We define `pseudo-linear´ models, with which we provide an iterative algorithm for minimization of the XLS criterion. Under certain statistical assumptions, we show that XLS coincides with a statistical criterion, which we term the `joint maximum-a-posteriori-maximum-likelihood´ (JMAP-ML) criterion. We identify the differences between the JMAP-ML and ML criteria, and explain the observed superiority of JMAP-ML over ML under non-asymptotic conditions