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The BLUE’s covariance matrix revisited: A review. (English) Zbl 1141.62325
Summary: We comment on and review some unexpected but interesting features of the BLUE (best linear unbiased estimator) of the expectation vector in the general linear model and in particular the BLUE’s covariance matrix. Most of these features appear in the literature but are rather scattered or hidden.

62H12 Estimation in multivariate analysis
62J05 Linear regression; mixed models
62H20 Measures of association (correlation, canonical correlation, etc.)
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