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AITKEN ESTIMATOR [1 record]

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Record 1 2000-06-20

English

Subject field(s)
  • Statistics
CONT

The seminal Generalised Least Squares contribution, together with the first matrix formulation of the Linear Regression Model appeared in Aitken,s paper, "On Least Squares and Linear Combinations of Observations", Proceedings of the Royal Society of Edinburgh, 1935, vol. 55, pp. 42-48. In this paper we find the well-known extension of the Gauss-Markhov Theorem to the case where the regression error vector has a non-scalar covariance matrix - the Aitken estimator is "Best Linear Unbiased".

French

Domaine(s)
  • Statistique

Spanish

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