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On equalities for BLUEs under misspecified Gauss-Markov models. (English) Zbl 1180.62083
Summary: This paper studies relationships between the best linear unbiased estimators (BLUEs) of an estimable parametric function \(\mathbf K \beta \) under the Gauss-Markov model \(\{\mathbf y, \mathbf X \beta , \sigma^{2} \Sigma \}\) and its misspecified model \(\{\mathbf y, \mathbf X_{0} \beta , \sigma^{2} \Sigma_{0}\}\). In addition, relationships between BLUEs under a restricted Gauss-Markov model and its misspecified model are also investigated.

MSC:
62H12 Estimation in multivariate analysis
62J05 Linear regression; mixed models
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