Estimation for Linear Models with Unequal Variances.
Abstract
The problem considered is concerned with a linear model of the form y = Xbeta + e where y is an n-vector of observed variables X is a full rank n x m matrix of known numbers B is an m-vector of unknown parameters and e is an n-vector of unknown parameters and e is an n-vector of unknown 'residuals' whose independent elements e sub i satisfy E(e sub i) = 0 Var e sub i = (Sigma sub i)(Sup 2) (Unknown). A special case of particular importance arises when one makes the additional assumption of normal residuals e sub i = N(0, (Sigma(sub i)(Sup 2). The problem is to estimate the m-vector beta and the n-vector sigma sup 2 with elements (Sigma (Sub i)(Sup 2). In the special case when all (Sigma (Sub i)(Sup 2) are known to be equal the problem is that of classical linear model estimation. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Jan 01, 1971
- Accession Number
- AD0734366
Entities
People
- Herman Otto Hartley
- K. S. E. Jayatillake
Organizations
- Texas A&M University