Equality of BLUEs or BLUPs under two linear models using stochastic restrictions

Haslett, Stephen J.; Puntanen, Simo
June 2010
Statistical Papers;Jun2010, Vol. 51 Issue 2, p465
Academic Journal
In this paper, we consider mixed linear models, possibly with singular covariance matrices, by supplementing a particular fixed effects model with appropriate stochastic restrictions. We show that all representations of the best linear unbiased estimator (BLUE) and best linear unbiased predictor (BLUP) can be obtained through the augmented model including stochastic restrictions. Using this approach, we consider two mixed linear models, $${\fancyscript {M}_1}$$ and $${\fancyscript {M}_2}$$ , say, which have different covariance matrices. We give necessary and sufficient conditions that the BLUP and/or BLUE under the the model $${\fancyscript {M}_{1}}$$ continue to be BLUP and/or BLUE also under the model $${\fancyscript {M}_{2}}$$ .


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