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On inference in a general linear model with an incorrect dispersion matrix. (English) Zbl 0588.62086
Linear statistical inference, Proc. Int. Conf., Poznań/Pol. 1984, Lect. Notes Stat., Springer-Verlag 35, 200-210 (1985).
[For the entire collection see Zbl 0583.00027.]
The problem of best linear unbiased estimation and testing of hypothesis in a general linear model with an incorrectly specified dispersion matrix is investigated. Previously known results regarding the equality of best linear unbiased estimators and of test statistics under two linear models which differ in their dispersion matrices follow as special cases.

MSC:
62H12 Estimation in multivariate analysis
62H15 Hypothesis testing in multivariate analysis