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- W2045024301 abstract "A method is derived to place an approximate bound on the mean-square error incurred by using an incorrect covariance matrix in the Gauss-Markov estimator of the coefficient vector in the full-rank general linear model. The bound thus obtained is a function of the incorrect covariance matrix $tilde{S}$ actually used, the Frobenius norm of $S - tilde{S}$, where $S$ is the correct covariance matrix, and the basis matrix $phi$. This estimate can therefore be computed from known or easily-approximated data in the usual regression problem. All mathematics related to the method is derived, and numerical examples are presented." @default.
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- W2045024301 date "1974-09-01" @default.
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- W2045024301 title "Coefficient Errors Caused by Using the Wrong Covariance Matrix in the General Linear Model" @default.
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- W2045024301 doi "https://doi.org/10.1214/aos/1176342815" @default.
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