Mitra, Sujit Kumar ; Betty, Jeanne Moore
(1973)
*Gauss-Markov estimation with an incorrect dispersion matrix *
Sankhya - Series A, 35
(2).
pp. 139-152.
ISSN 0581-572X

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Official URL: http://sankhya.isical.ac.in/search/35a2/35a2018.ht...

## Abstract

We consider the general Gauss-Markov model $( Y, X\boldsymbol\beta, V)$, where $E(Y)= X\boldsymbol\beta$, $D(Y)= V$, and we provide solutions to the following questions: (1)When is a specific linear representation of the BLUE of $ X\boldsymbol\beta$ under $( Y, X\boldsymbol\beta,\sigma^2 V_0)$ also a BLUE under $( Y, X\boldsymbol\beta, V)$? (2) When does $ X\boldsymbol\beta$ have a common BLUE under $( Y, X\boldsymbol\beta,\sigmaˆ 2 V_0)$ and $( Y, X\boldsymbol\beta, V)$? (3) When is the BLUE of $ X\boldsymbol\beta$, under $( Y, X\boldsymbol\beta,\sigmaˆ 2 V_0)$, irrespective of the linear representation used in its expression, also a BLUE under $( Y, X\boldsymbol\beta, V)$? We also study the problem of Gauss-Markov estimation in a Variance Components and Covariance Components model.

Item Type: | Article |
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Source: | Copyright of this article belongs to Indian Statistical Institute. |

ID Code: | 32045 |

Deposited On: | 30 Mar 2011 12:57 |

Last Modified: | 30 Mar 2011 12:57 |

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