On equality and proportionality of ordinary least squares, weighted least squares and best linear unbiased estimators in the general linear model
AbstractEquality and proportionality of the ordinary least-squares estimator (OLSE), the weighted least-squares estimator (WLSE), and the best linear unbiased estimator (BLUE) for X[beta] in the general linear (Gauss-Markov) model are investigated through the matrix rank method.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 76 (2006)
Issue (Month): 12 (July)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Young, Dean M. & Odell, Patrick L. & Hahn, William, 2000. "Nonnegative-definite covariance structures for which the blu, wls, and ls estimators are equal," Statistics & Probability Letters, Elsevier, vol. 49(3), pages 271-276, September.
- Alessandra Luati & Tommaso Proietti, 2011.
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Annals of the Institute of Statistical Mathematics,
Springer, vol. 63(4), pages 851-871, August.
- Luati, Alessandra & Proietti, Tommaso, 2008. "On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing," MPRA Paper 8910, University Library of Munich, Germany.
- Hyndman, Rob J. & Ahmed, Roman A. & Athanasopoulos, George & Shang, Han Lin, 2011.
"Optimal combination forecasts for hierarchical time series,"
Computational Statistics & Data Analysis,
Elsevier, vol. 55(9), pages 2579-2589, September.
- Rob J. Hyndman & Roman A. Ahmed & George Athanasopoulos, 2007. "Optimal combination forecasts for hierarchical time series," Monash Econometrics and Business Statistics Working Papers 9/07, Monash University, Department of Econometrics and Business Statistics.
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