Fourth Quarter Survey of the Economic Outlook |
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| Authors: | Frederic M. Lord |
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| Affiliation: | Educational Testing Service , Rosedale Rd., Princeton , NJ , 08540 , USA |
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| Abstract: | Written mainly for its pedagogical interest, this note deals with the computational formulas for the recursive updating of weighted least squares parameter estimates and the residual sum of squares in the general linear model under the assumption that the errors have a multivariate normal distribution. This approach simplifies considerably the derivations of Haslett (1985). |
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| Keywords: | Multivariate normal Weighted least squares Maximum likelihood estimators Score function |
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