Nonnegative-definite covariance structures for which the blu, wls, and ls estimators are equal

Dean M. Young, Patrick L. Odell and William Hahn

Statistics & Probability Letters, 2000, vol. 49, issue 3, 271-276

Abstract: For the general Gauss-Markov model with E(Y)=X[beta] and Var(Y)=V, we give a concise proof of an explicit characterization of the general nonnegative-definite covariance structure V such that the best linear unbiased estimator, weighted least-squares estimator, and least-squares estimator of X[beta] are identical.

Keywords: Moore-Penrose; inverse; Weighted; least-squares; normal; equation; Nonnegative-definite; solutions; of; a; homogeneous; matrix; equation (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (1)

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