## The Annals of Statistics

### Linear Transformations Preserving Best Linear Unbiased Estimators in a General Gauss-Markoff Model

#### Abstract

Under a general Gauss-Markoff model $\{\mathbf{y}, \mathbf{X,\beta, V}\}$, a necessary and sufficient condition is established for a linear transformation, $\mathbf{F}$, of the observable random vector $\mathbf{y}$ to have the property that there exists a linear function of $\mathscr{Fy}$ which is a BLUE of $\mathbf{X\beta}$. A method for deriving a required BLUE from the transformed model $\{\mathbf{Fy, FX\beta, FVF}'\}$ is also indicated.

#### Article information

Source
Ann. Statist., Volume 9, Number 4 (1981), 913-916.

Dates
First available in Project Euclid: 12 April 2007

https://projecteuclid.org/euclid.aos/1176345533

Digital Object Identifier
doi:10.1214/aos/1176345533

Mathematical Reviews number (MathSciNet)
MR619297

Zentralblatt MATH identifier
0471.62067

JSTOR