A note on the characterization of the general nonnegative-definite covariance structure for the equality of the BLU and OLS estimators

MaRDI QIDQ4590830zbMATH OpenFDO

Authors Phil D. Young, Dean M. Young

Publication date 20 November 2017

zbMATH Keywords

ordinary least squares estimatorGauss-Markov estimatorMoore-Penrose pseudoinverseestimation equivalent covariance structure

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Analysis of variance and covariance (ANOVA) (62J10) Theory of matrix inversion and generalized inverses (15A09) Matrix equations and identities (15A24)

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(4)

• Bounds for the trace of the difference of the covariance matrices of the OLSE and BLUE
• A note on the equality of the OLSE and the BLUE of the parametric function in the general Gauss-Markov model
• An identity for reflexive g-inverses in the context with BLU estimators
• Nonnegative-definite covariance structures for which the blu, wls, and ls estimators are equal

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