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Article

Kubáček, Lubomír
Seemingly unrelated regression models. (English). Applications of Mathematics, vol. 58 (2013), issue 1, pp. 111-123
MSC: 62F10, 62H12, 62J05, 62P20 | MR 3022771 | Zbl 1274.62451 | DOI: 10.1007/s10492-013-0005-7
Keywords:
seemingly unrelated regression; linear statistical model; variance components; BLUE; MINQUE
Summary:
The cross-covariance matrix of observation vectors in two linear statistical models need not be zero matrix. In such a case the problem is to find explicit expressions for the best linear unbiased estimators of both model parameters and estimators of variance components in the simplest structure of the covariance matrix. Univariate and multivariate forms of linear models are dealt with.
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