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Biometrika 1981 68(1):67-71; doi:10.1093/biomet/68.1.67
© 1981 by Biometrika Trust
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Inefficiency and correlation

FLAVIO C. BARTMANN and PETER BLOOMFIELD

Department of Statistics, Princeton University New Jersey

Various extremal results have been proved concerning the efficiency of least squares estimates relative to Gauss-Markov estimates and concerning the canonical correlations between two sets of random variables. In this paper we show how these two types of result are related, and derive a new result from which many previous inequalities can be derived.

Key Words: Canonical correlation • Inefficiency • Least squares


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