Exercise 2.11.6 Consider the linear model Y1 Y2 = JN1 JN2 + e, E
Question:
Exercise 2.11.6 Consider the linear model
Y1 Y2
=
JN1 JN2
μ +
e, E
(e) = 0, Cov
e1 e2
=
σ2 1 IN1 0 0 σ2 2 IN2
.
Find the BLUE ˆμand Var( ˆ μ) assuming that the variance parameters are known.
How does the result change if σ2 1 is unknown but σ2 2 /σ 2 1 is known?
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