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

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE