Appendix of statistics inference.ppt

文档介绍：Appendix of statistics inference
Xi’An Institute of Post & munication
Dept of Economic & Management
Prof. Long
1 BLUE Estimator
Gauss–Markov Theorem:
Given the assumptions of
the classical linear regression
model, the least-squares
estimators, in the class of
Unbiased linear estimators,have
minimum variance,
that is, they are BLUE.
MINIMUM-VARIANCE PROPERTYOF LEAST-SQUARES ESTIMATORS
The least-squares estimator b2 is linear as well as unbiased (this holds true of b1 too). To show that these estimators are also minimum variance in the class of all linear unbiased estimators, consider the least-squares estimator b2 :
The least-squares estimator of 2