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Mean squared error of the empirical best linear unbiased predictor in an orthogonal finite discrete spectrum linear regression model

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Abstract

The mean squared error (MSE) of the empirical best linear unbiased predictor in an orthogonal finite discrete spectrum linear regression model is derived and a comparison with the MSE of the best linear unbiased predictor in this model is made. It is shown that under weak conditions these two mean square errors are asymptotically the same.

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Authors and Affiliations

  1. Department of Applied Mathematics and Statistics, Comenius University, Mlynská Dolina, Bratislava, 84248, Slovakia

    František Štulajter

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  1. František Štulajter
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Correspondence to František Štulajter.

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Štulajter, F. Mean squared error of the empirical best linear unbiased predictor in an orthogonal finite discrete spectrum linear regression model. Metrika 65, 331–348 (2007). https://doi.org/10.1007/s00184-006-0080-9

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  • DOI: https://doi.org/10.1007/s00184-006-0080-9

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