Abstract
In this article, we consider two linear models, ℳ1 = {y, X β, V 1} and ℳ2 = {y, X β, V 2}, which differ only in their covariance matrices. Our main focus lies on the difference of the best linear unbiased estimators, BLUEs, of X β under these models. The corresponding problems between the models {y, X β, I n } and {y, X β, V}, i.e., between the OLSE (ordinary least squares estimator) and BLUE, are pretty well studied. Our purpose is to review the corresponding considerations between the BLUEs of X β under ℳ1 and ℳ2. This article is an expository one presenting also new results.
Acknowledgments
Thanks go to the Associate Editor and the referees for constructive remarks yielding a clarified structure of the article.