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On relations between BLUEs under two transformed linear models

Author

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  • Dong, Baomin
  • Guo, Wenxing
  • Tian, Yongge

Abstract

For a given general linear model ℳ={y,Xβ,Σ}, we investigate relationships between the best linear unbiased estimations (BLUEs) under its two transformed models ℳ1={Ay,AXβ,AΣA′} and ℳ2={By,BXβ,BΣB′}. We first establish some expansion formulas for calculating the ranks and inertias of the covariance matrices of BLUEs and their operations under ℳ1 and ℳ2. We then derive from the rank and inertia formulas necessary and sufficient conditions for equalities and inequalities of BLUEs’ covariance matrices to hold. We also give applications of the rank and inertia formulas to two sub-sample models of ℳ.

Suggested Citation

  • Dong, Baomin & Guo, Wenxing & Tian, Yongge, 2014. "On relations between BLUEs under two transformed linear models," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 279-292.
    • Handle: RePEc:eee:jmvana:v:131:y:2014:i:c:p:279-292
    DOI: 10.1016/j.jmva.2014.07.005
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    References listed on IDEAS

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    1. Yongge Tian & M. Beisiegel & E. Dagenais & C. Haines, 2008. "On the natural restrictions in the singular Gauss–Markov model," Statistical Papers, Springer, vol. 49(3), pages 553-564, July.
    2. Farebrother, R. W., 1979. "Estimation with aggregated data," Journal of Econometrics, Elsevier, vol. 10(1), pages 43-55, April.
    3. Lucke, Bernd, 1991. "On BLU-estimation with data of different periodicity," Economics Letters, Elsevier, vol. 35(2), pages 173-177, February.
    4. Rao, C. Radhakrishna, 1973. "Representations of best linear unbiased estimators in the Gauss-Markoff model with a singular dispersion matrix," Journal of Multivariate Analysis, Elsevier, vol. 3(3), pages 276-292, September.
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    Cited by:

    1. Tian, Yongge & Jiang, Bo, 2016. "Equalities for estimators of partial parameters under linear model with restrictions," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 299-313.
    2. Yongge Tian & Wenxing Guo, 2016. "On comparison of dispersion matrices of estimators under a constrained linear model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 25(4), pages 623-649, November.
    3. Y. Tian, 2017. "Some equalities and inequalities for covariance matrices of estimators under linear model," Statistical Papers, Springer, vol. 58(2), pages 467-484, June.
    4. Yongge Tian, 2017. "Transformation approaches of linear random-effects models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(4), pages 583-608, November.
    5. Ren, Xingwei, 2016. "Estimation in singular linear models with stepwise inclusion of linear restrictions," Journal of Multivariate Analysis, Elsevier, vol. 148(C), pages 60-72.
    6. Jiang, Bo & Tian, Yongge, 2017. "Rank/inertia approaches to weighted least-squares solutions of linear matrix equations," Applied Mathematics and Computation, Elsevier, vol. 315(C), pages 400-413.
    7. Yongge Tian & Bo Jiang, 2017. "Quadratic properties of least-squares solutions of linear matrix equations with statistical applications," Computational Statistics, Springer, vol. 32(4), pages 1645-1663, December.

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