Unbiased and Minimum-Variance Unbiased Estimation of Estimable Functions for Fixed Linear Models with Arbitrary Covariance Structure
Harville, David A.
Ann. Statist., Tome 9 (1981) no. 1, p. 633-637 / Harvested from Project Euclid
Consider a general linear model for a column vector $y$ of data having $E(y) = X \alpha$ and $\operatorname{Var}(y) = \sigma^2H$, where $\alpha$ is a vector of unknown parameters and $X$ and $H$ are given matrices that are possibly deficient in rank. Let $b = Ty$, where $T$ is any matrix of maximum rank such that $TH = \phi$. The estimation of a linear function of $\alpha$ by functions of the form $c + a'y$, where $c$ and $a$ are permitted to depend on $b$, is investigated. Allowing $c$ and $a$ to depend on $b$ expands the class of unbiased estimators in a nontrivial way; however, it does not add to the class of linear functions of $\alpha$ that are estimable. Any minimum-variance unbiased estimator is identically [for $y$ in the column space of $(X, H)$] equal to the estimator that has minimum variance among strictly linear unbiased estimators.
Publié le : 1981-05-14
Classification:  Linear models,  best linear unbiased estimation,  singular covariance matrices,  Gauss-Markov theorem,  62J05
@article{1176345467,
     author = {Harville, David A.},
     title = {Unbiased and Minimum-Variance Unbiased Estimation of Estimable Functions for Fixed Linear Models with Arbitrary Covariance Structure},
     journal = {Ann. Statist.},
     volume = {9},
     number = {1},
     year = {1981},
     pages = { 633-637},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176345467}
}
Harville, David A. Unbiased and Minimum-Variance Unbiased Estimation of Estimable Functions for Fixed Linear Models with Arbitrary Covariance Structure. Ann. Statist., Tome 9 (1981) no. 1, pp.  633-637. http://gdmltest.u-ga.fr/item/1176345467/