权回归模型下几种估计性能的比较

The Performance Comparison of Several Estimate for Linear Weighted Regression Model Presented

在给定的权回归模型下,讨论了最小二乘估计、最优加权最小二乘估计和线性无偏最小方差估计的性能比较,得出了在随机误差方差矩阵可逆条件下,可算出最优加权最小二乘估计与线性无偏最小方差估计误差方差阵的差表达式,并在一定条件下,两者趋于一致。

The performance comparison among least squares estimate, optimal weighted least squares estimate and linear unbiased minimum variance estimate of column singular design matrix for a linear weighted regression model are presented in this paper. Under the condition of random error variance matrix invertibility, the difference between optimally weighted least squares estimate and linear unbiased minimum variance estimate error variances can be calculated, and the two estimates can converge to the same one under a certain condition.