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A note on the equality of the OLSE and the BLUE of the parametric function in the general Gauss-Markov model. (English) Zbl 1309.62113
Summary: In this note we consider the equality of the ordinary least squares estimator (OLSE) and the best linear unbiased estimator (BLUE) of the estimable parametric function in the general Gauss-Markov model. Especially we consider the structures of the covariance matrix \(V\) for which the OLSE equals the BLUE. Our results are based on the properties of a particular reparametrized version of the original Gauss-Markov model.

MSC:
62J05 Linear regression; mixed models
62F10 Point estimation
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