On simultaneous prediction in a multivariate general linear model with future observations

Yongge Tian () and Cheng Wang

Statistics & Probability Letters, 2017, vol. 128, issue C, 52-59

Abstract: We provide a general derivation for the closed-form formula of the best linear unbiased predictors (BLUPs) of all unknown parameter matrices in a multivariate general linear model (MGLM) with future observations by using some new matrix analysis tools, and present a variety of valuable properties and features of the BLUPs under various general assumptions.

Keywords: Multivariate general linear model; Future observation; Predictor; Estimator; Covariance matrix (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.04.007

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