# Accession Number:

## AD0734366

# Title:

## Estimation for Linear Models with Unequal Variances.

# Descriptive Note:

## Technical rept.,

# Corporate Author:

## TEXAS A AND M UNIV COLLEGE STATION

# Personal Author(s):

# Report Date:

## 1971-01-01

# Pagination or Media Count:

## 24.0

# 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 Ee sub i 0 Var e sub i Sigma sub iSup 2 Unknown. A special case of particular importance arises when one makes the additional assumption of normal residuals e sub i N0, Sigmasub iSup 2. The problem is to estimate the m-vector beta and the n-vector sigma sup 2 with elements Sigma Sub iSup 2. In the special case when all Sigma Sub iSup 2 are known to be equal the problem is that of classical linear model estimation. Author

# Descriptors:

# Subject Categories:

- Statistics and Probability