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Nonnegative-definite covariance structures for which the least squares estimator is the best linear unbiased estimator
Nonnegative-definite covariance structures the least squares estimator
2010/9/15
For the Gauss-Markov model with E(y) = Xβ and Var(y) = V,we establish a new explicit characterization of the general nonnegative-definite covariance structure V such that the best
linear unbiased est...
Recursive Least Squares Estimator with Multiple Exponential Windows in Vector Autoregression
exponential window rectangular window
2007/12/11
In the parameter tracking of time-varying systems, the ordinary method is weighted least squares with the rectangular window or the exponential window. In this paper we propose a new kind of sliding w...
Generalized Inverse Estimator and comparison with Least Squares Estimator
Inverse Estimator Least Squares Estimator
2010/3/4
Trenkler [13] described an iteration estimator. This estimator is defined as follows: for 0 < g < 1/li \max \[ \hat{b}m, g = g \summi=0 (1-g X'X)i X'y , \] where li are eigenvalues of X'X. In this pap...