The general Gauss-Markov model with possibly singular dispersion matrix |
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Authors: | Jürgen Groß |
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Institution: | (1) Department of Statistics, University of Dortmund, Vogelpothsweg 87, 44221 Dortmund, Germany |
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Abstract: | Linear models with possibly singular dispersion (variance-covariance) matrix of the vector of disturbances have been considered
in the literature since the late sixties. In this paper we give a survey of important results and consequences without a claim
to completeness. Proofs are given for the results in Sections 2 to 5.
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Notation
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2 |
The General Gauss-Markov Model
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3 |
Best Linear Unbiased Estimation
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4 |
Quadratic Unbiased Estimation
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5 |
Testing a Linear Hypothesis
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6 |
Further Aspects of Linear Estimation
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Keywords: | |
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