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August 31, 2024 4 min read Definitions
Gauss--Markov Theorem: Best Linear Unbiased Estimator in Regression Analysis
Mathematics Statistics Gauss-Markov Theorem OLS BLUE Regression Analysis Linear Models
A theorem that under certain conditions, the ordinary least squares (OLS) estimator provides the Best Linear Unbiased Estimator (BLUE) of the linear regression coefficients. The conditions include a correct linear regression function and homoscedastic, serially uncorrelated errors for non-stochastic explanatory variables.
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