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Estimation in a special structure of the linear model. (English) Zbl 0779.62061
The author considers a linear model with diagonal covariance matrix whose elements have the form \(\sigma^ 2(a+b|\varphi|)^ 2\), where \(\sigma^ 2\), \(a\) and \(b\) are known positive constants. A locally best linear-quadratic unbiased estimator of the elements of the covariance matrix is investigated in some simple cases. The method can be generalized to general cases.

62J05 Linear regression; mixed models
62F10 Point estimation
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