Two matrix-based proofs that the linear estimator \(G y\) is the best linear unbiased estimator

DOI10.1016/S0378-3758(00)00076-8zbMath0964.62054MaRDI QIDQ1579993

Simo Puntanen, Hans Joachim Werner, George P. H. Styan

Publication date: 19 July 2001

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(00)00076-8

zbMATH Keywords

linear model; consistency condition; best linear unbiased estimator; BLUE; idempotent matrices; Gauss-Markov model; generalized matrix inverses; quadratic unbiased estimators; best unbiased estimator; natural restrictions; extended BLUE approach; extended estimators; traditional BLUE approach

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62J05: Linear regression; mixed models

15A24: Matrix equations and identities

15A45: Miscellaneous inequalities involving matrices

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Cites Work

• Representations of best linear unbiased estimators in the Gauss-Markoff model with a singular dispersion matrix
• On inequality constrained generalized least squares selections in the general possibly singular Gauss-Markov model: A projector theoretical approach
• On Best Linear Estimation and General Gauss-Markov Theorem in Linear Models with Arbitrary Nonnegative Covariance Structure
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