Recursive improvement of estimates in a Gauss-Markov model with linear restrictions. (English) Zbl 0667.62050
The minimum-dispersion linear unbiased estimator of a set of estimable functions in a general Gauss-Markov model with double linear restrictions is considered. The attention is focused on developing a recursive formula in which an initial estimator, obtained from the unrestricted model, is corrected with respect to the restrictions successively incorporated into the model. The established formula generalizes known results developed for the simple Gauss-Markov model.
Keywords:
minimum-dispersion linear unbiased estimator; estimable functions; general Gauss-Markov model; double linear restrictions; recursive formulaReferences:
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