Equality of the BLUPs under the mixed linear model when random components and errors are correlated

Xin Liu and Qing-Wen Wang

Journal of Multivariate Analysis, 2013, vol. 116, issue C, 297-309

Abstract: We consider a general mixed linear model ℳ without any rank assumptions to the covariance matrix and without any restrictions on the correlation between the random effects vector and the random errors vector. We get the representations of best linear unbiased estimators (BLUEs)/ best linear unbiased predictors (BLUPs) of ℳ through a particular construction from the model ℳ which uses stochastic restriction. For the general mixed linear models ℳ1 and ℳ2, which have different covariance matrices, we derive the necessary and sufficient conditions for that the BLUEs and/or BLUPs under ℳ1 continue to be the BLUEs and/or BLUPs under the ℳ2. And we also give the necessary and sufficient conditions for the equivalence of BLUP under ℳ1 and ℳ2.

Keywords: General mixed linear model; Fixed effects partitioned model; Best linear unbiased estimator (BLUE); Best linear unbiased predictor (BLUP); Stochastic restriction (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:116:y:2013:i:c:p:297-309

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DOI: 10.1016/j.jmva.2012.12.006

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