Linear Prediction Sufficiency for New Observations in the General Gauss–Markov Model
Authors:
- 1 July 2006
- journal article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 35 (6) , 1011-1023
Abstract
We consider the prediction of new observations in a general Gauss-Markov model. We state the fundamental equation of the best linear unbiased pre- diction, BLUP, and consider some properties of the BLUP. Particularly, we focus on such linear statistics, which preserve enough information for obtain- ing the BLUP of new observations as a linear function of them. We call such statistics linearly prediction sucient for new observations, and introduce some equivalent characterizations for this new concept.Keywords
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