Defense of the least squares solution to Peelle's pertinent puzzle (Q1736477)

Summary: Generalized least squares (GLS) for model parameter estimation has a long and successful history dating to its development by Gauss in 1795. Alternatives can outperform GLS in some settings, and alternatives to GLS are sometimes sought when GLS exhibits curious behavior, such as in Peelle's Pertinent Puzzle (PPP). PPP was described in 1987 in the context of estimating fundamental parameters that arise in nuclear interaction experiments. In PPP, GLS estimates fell outside the range of the data, eliciting concerns that GLS was somehow flawed. These concerns have led to suggested alternatives to GLS estimators. This paper defends GLS in the PPP context, investigates when PPP can occur, illustrates when PPP can be beneficial for parameter estimation, reviews optimality properties of GLS estimators, and gives an example in which PPP does occur.