- Research Article
- Open Access
From Equivalent Linear Equations to Gauss-Markov Theorem
© Czesław Stępniak. 2010
- Received: 17 December 2009
- Accepted: 27 June 2010
- Published: 13 July 2010
Gauss-Markov theorem reduces linear unbiased estimation to the Least Squares Solution of inconsistent linear equations while the normal equations reduce the second one to the usual solution of consistent linear equations. It is rather surprising that the second algebraic result is usually derived in a differential way. To avoid this dissonance, we state and use an auxiliary result on equivalence of two systems of linear equations. This places us in a convenient position to attack on the main problems in the Gauss-Markov model in an easy way.
- Little Square Estimator
- Little Square Solution
- Pythagorean Theorem
- Inverse Matrice
- Linear Unbiased Estimation
The Gauss-Markov theorem is the most classical achievement in statistics. Its role in statistics is comparable with that of the Pythagorean theorem in geometry. In fact, there are close relations between both of them.
The Gauss-Markov theorem is presented in many books and derived in many ways. The most popular approaches involve
(iv)projection operators (see Seber ).
We presume that such a big market has many clients. This paper is intended for some of them. Our consideration is straightforward and self-contained. Moreover, it needs only moderate prerequisites.
The main tool used in this paper is equivalence of two systems of linear equations.
(i.e., the orthogonal projector onto ) It follows from definition (2.4) that The following lemma (see ) will be a key tool in the further consideration.
The following theorem shows that this definition is not empty and reduces the LSS of an inconsistent equation (3.1) to the ordinary solution of a consistent one.
Equation (3.1) has at least one LSS.
In the statistical literature, (3.3) is said to be normal.
Statement (d) follows directly from definition of kernel.
Hence, any unbiased estimator of may be presented in the form , where the first component is the LSE of while . In particular the components are not correlated. Therefore, the variance of the sum is greater than the variance of the LSE , unless . Moreover, by Theorem 3.2(d) this estimator is invariant with respect to the choice of the LSS . In consequence, the LSE of the function is unique.
Thanks are due to a reviewer for his comments leading to the improvement in the presentation of this paper.
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