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The general Gauss-Markov model with possibly singular dispersion matrix

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Abstract

Linear models with possibly singular dispersion (variance-covariance) matrix of the vector of disturbances have been considered in the literature since the late sixties. In this paper we give a survey of important results and consequences without a claim to completeness. Proofs are given for the results in Sections 2 to 5.

  1. 1

    Notation

  2. 2

    The General Gauss-Markov Model

  3. 3

    Best Linear Unbiased Estimation

  4. 4

    Quadratic Unbiased Estimation

  5. 5

    Testing a Linear Hypothesis

  6. 6

    Further Aspects of Linear Estimation

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  1. Department of Statistics, University of Dortmund, Vogelpothsweg 87, 44221, Dortmund, Germany

    Jürgen Groß

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  1. Jürgen Groß
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Groß, J. The general Gauss-Markov model with possibly singular dispersion matrix. Statistical Papers 45, 311–336 (2004). https://doi.org/10.1007/BF02777575

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  • DOI: https://doi.org/10.1007/BF02777575

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