an:05287884
Zbl 1141.62325
Isotalo, Jarkko; Puntanen, Simo; Styan, George P. H.
The BLUE's covariance matrix revisited: A review
EN
J. Stat. Plann. Inference 138, No. 9, 2722-2737 (2008).
00220056
2008
j
62H12 62J05 62H20
arithmetic mean; best linear unbiased estimator (BLUE); canonical correlations; generalized inverse; linear model; minimum variance linear unbiased estimator; ordinary least squares estimator (OLSE); orthogonal projector; proper eigenvalues; residuals; Watson efficiency
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.