New insights into best linear unbiased estimation and the optimality of least-squares

被引：0

作者：

Faliva, M ^{[1
]}

Zoia, MG ^{[1
]}

机构：

[1] Univ Cattolica Sacro Cuore, Ist Econometria & Matemat, I-20123 Milan, Italy

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2006年 / 97卷 / 03期

关键词：

BLUE closed-forms; nonsphericalness; OLS optimality;

D O I：

10.1016/j.jmva.2005.07.001

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

New results in matrix algebra applied to the fundamental bordered matrix of linear estimation theory pave the way towards obtaining additional and informative closed-form expressions for the best linear unbiased estimator (BLUE). The results prove significant in several respects. Indeed, more light is shed on the BLUE structure and on the working of the OLS estimator under nonsphericalness in (possibly) singular models. (C) 2005 Elsevier Inc. All rights reserved.

引用

页码：575 / 585

页数：11

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