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Biometrika 1982 69(1):269-273; doi:10.1093/biomet/69.1.269
© 1982 by Biometrika Trust
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MISCELLANEA

Second-order expansion of mean squared error matrix of generalized least squares estimator with estimated parameters

YASUYUKI TOYOOKA

Department of Applied Mathematics, Osaka University Toyonaka, Japan

The second-order expansion of the mean squared error matrix of the generalized least squares estimators for the regression parameters is obtained when the samples and the estimators for the structural parameters contained in the variance-covariance matrix are independent.

Key Words: Autoregressive process • Generalized least squares estimator • Second-order expansion • Statistical linear model


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