JIN Mingzhong;CHEN Xiru
Journal of Systems Science and Complexity. 1992, 5(3): 251-259.
Consider the linear regression model Y_i=x_i′β+σ_ie_i,i=1,…,n,…, where E(e_i)=0, E(e_ie_j)=δ_(ij), 0<σ_1~2\le σ_2~2\le … and {x_i} satisfies A_1\le sum from i=1 to n x_ix_i′/n\le A_2, for n large, A_1>0,A_2>0. This paper shows that (i) if σ_i~2,i=1,2…, are known, then the necessary and sufficient condition for the consistency of the best unbiased linear estimate of β is sum from i=1 to ∞ σ_i~(-2)=∞;(ii) if {σ_i~2} is only known to belong to the set {(h_1,h_2,…)∶ 0