an:01241226
Zbl 0941.62075
Kurata, Hiroshi
A generalization of Rao's covariance structure with applications to several linear models
EN
J. Multivariate Anal. 67, No. 2, 297-305 (1998).
00053029
1998
j
62J05 62H12 62J10
seemingly unrelated regression model; general multivariate analysis of variance model; Rao's covariance structure; ordinary least squares estimator; Gauss-Markov estimator
Summary: This paper presents a generalization of Rao's covariance structure [\textit{C.R. Rao}, Proc. 5th Berkeley Symp. Math. Stat. Probab. Univ. Calif. 1965/66, 1, 355-372 (1967; Zbl 0189.18503)]. In a general linear regression model, we classify the error covariance structure into several categories and investigate the efficiency of the ordinary least squares estimator (OLSE) relative to the Gauss-Markov estimator (GME). The classification criterion considered here is the rank of the covariance matrix of the difference between the OLSE and the GME. Hence our classification includes Rao's covariance structure. The results are applied to models with special structures: a general multivariate analysis of variance model, a seemingly unrelated regression model, and a serial correlation model.
Reviewer (Berlin)
Zbl 0189.18503