A note on the equality of the OLSE and the BLUE of the parametric function in the general Gauss–Markov model

In this note we consider the equality of the ordinary least squares estimator (OLSE) and the best linear unbiased estimator (BLUE) of the estimable parametric function in the general Gauss–Markov model. Especially we consider the structures of the covariance matrix V for which the OLSE equals the BL...

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Bibliographic Details
Published in:Statistical papers (Berlin, Germany) Germany), 2009, Vol.50 (1), p.185-193
Main Authors: Isotalo, Jarkko, Puntanen, Simo
Format: Article
Language:English
Subjects:
Covariance matrix
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Equality
Estimating techniques
Estimators
Finance
Generalized linear models
Insurance
Least squares method
Management
Markov analysis
Mathematical models
Mathematics and Statistics
Normal distribution
Operations Research/Decision Theory
Probability Theory and Stochastic Processes
Statistics
Statistics for Business
Studies
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Summary:In this note we consider the equality of the ordinary least squares estimator (OLSE) and the best linear unbiased estimator (BLUE) of the estimable parametric function in the general Gauss–Markov model. Especially we consider the structures of the covariance matrix V for which the OLSE equals the BLUE. Our results are based on the properties of a particular reparametrized version of the original Gauss–Markov model.
ISSN:0932-5026
1613-9798
DOI:10.1007/s00362-007-0055-6