The BLUE's covariance matrix revisited: A review |
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| Authors: | Jarkko Isotalo Simo Puntanen George P.H. Styan |
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| Affiliation: | 1. Department of Mathematics, Statistics and Philosophy1, University of Tampere, FI-33014 Finland;2. Department of Mathematics and Statistics, McGill University, 805 ouest rue Sherbrooke Street West, Montréal, Québec, Canada H3A 2K6 |
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| Abstract: | In this paper 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. |
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| Keywords: | 15A42 62J05 62H12 62H20 |
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