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2012
Dan Nettleton (Iowa State University)
Statistics 511
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of
Under the Gauss-Markov Linear Model, the OLS estimator c0
an estimable linear function c0 is the unique Best Linear
is strictly
Unbiased Estimator (BLUE) in the sense that Var(c0 )
less than the variance of any other linear unbiased estimator of
c0 .
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2012
Dan Nettleton (Iowa State University)
Statistics 511
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c
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2012
Dan Nettleton (Iowa State University)
a0 E(y) = c0 IRp
a0 X = c0 IRp
a0 X = c0 .
Statistics 511
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Statistics 511
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c
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2012
Dan Nettleton (Iowa State University)
Statistics 511
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d0 X = `0 X = c0 = d0 X `0 X = 00 = (d `)0 X = 00 .
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Dan Nettleton (Iowa State University)
Statistics 511
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Var(d0 y) = Var(d0 y c0 + c0 )
0
+ Var(c0 )
+ 2Cov(d0 y c0 ,
c0 ).
= Var(d y c0 )
c0 )
= Cov(d0 y `0 y, `0 y) = Cov((d `)0 y, `0 y)
Cov(d0 y c0 ,
= (d `)0 Var(y)` = 2 (d `)0 `
= 2 (d `)0 X[(X0 X) ]0 c = 0 by (2).
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2012
Dan Nettleton (Iowa State University)
Statistics 511
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It follows that
+ Var(c0 )
Var(d0 y) = Var(d0 y c0 )
> Var(c0 ).
2
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2012
Dan Nettleton (Iowa State University)
Statistics 511
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