A projector oriented approach to the best linear unbiased estimator
O. M. Baksalary1 , G. Trenkler2
1 Faculty of Physics, A. Mickiewicz University, Umultowska 85, 61-614 Poznań, Poland
2 Department of Statistics, Dortmund University of Technology, Vogelpothsweg 87, D-44221 Dortmund, Germany
Linear Algebra and Its Applications, 50, 721-733 (2009)
The paper provides a projector based approach to the best linear unbiased estimator (BLUE). By revisiting the so called generalized projection operator, introduced in Rao (J R Stat Soc Ser B Stat Methodol 36:442–448, 1974), a number of new formulae for BLUE is established. Furthermore, some attention is paid to the coincidence of the BLUE and the ordinary least squares estimator.