Extensions of the Frisch-Waugh-Lovell Theorem

Jürgen Groß; Simo Puntanen

Discussiones Mathematicae Probability and Statistics (2005)

  • Volume: 25, Issue: 1, page 39-49
  • ISSN: 1509-9423

Abstract

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In this paper we introduce extensions of the so-called Frisch-Waugh-Lovell Theorem. This is done by employing the close relationship between the concept of linear sufficiency and the appropriate reduction of linear models. Some specific reduced models which demonstrate alternatives to the Frisch-Waugh-Lovell procedure are discussed.

How to cite

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Jürgen Groß, and Simo Puntanen. "Extensions of the Frisch-Waugh-Lovell Theorem." Discussiones Mathematicae Probability and Statistics 25.1 (2005): 39-49. <http://eudml.org/doc/287709>.

@article{JürgenGroß2005,
abstract = {In this paper we introduce extensions of the so-called Frisch-Waugh-Lovell Theorem. This is done by employing the close relationship between the concept of linear sufficiency and the appropriate reduction of linear models. Some specific reduced models which demonstrate alternatives to the Frisch-Waugh-Lovell procedure are discussed.},
author = {Jürgen Groß, Simo Puntanen},
journal = {Discussiones Mathematicae Probability and Statistics},
keywords = {best linear unbiased estimation; Frisch-Waugh-Lovell Theorem; linear sufficiency; orthogonal projector; partitioned linear model; reduced linear model},
language = {eng},
number = {1},
pages = {39-49},
title = {Extensions of the Frisch-Waugh-Lovell Theorem},
url = {http://eudml.org/doc/287709},
volume = {25},
year = {2005},
}

TY - JOUR
AU - Jürgen Groß
AU - Simo Puntanen
TI - Extensions of the Frisch-Waugh-Lovell Theorem
JO - Discussiones Mathematicae Probability and Statistics
PY - 2005
VL - 25
IS - 1
SP - 39
EP - 49
AB - In this paper we introduce extensions of the so-called Frisch-Waugh-Lovell Theorem. This is done by employing the close relationship between the concept of linear sufficiency and the appropriate reduction of linear models. Some specific reduced models which demonstrate alternatives to the Frisch-Waugh-Lovell procedure are discussed.
LA - eng
KW - best linear unbiased estimation; Frisch-Waugh-Lovell Theorem; linear sufficiency; orthogonal projector; partitioned linear model; reduced linear model
UR - http://eudml.org/doc/287709
ER -

References

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  13. [13] S. Puntanen, Some matrix results related to a partitioned singular linearmodel, Communications in Statistics, Theory and Methods 25 (1996), 269-279. Zbl0875.62288
  14. [14] S. Puntanen, Some further results related to reduced singular linear models, Communications in Statistics, Theory and Methods 26 (1996), 375-385. Zbl0925.62260
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  16. [16] C.R. Rao, Unified theory of linear estimation, Sankhyā, Ser. A, 33 (1971), 371-394; Corrigenda, Sankhyā, Ser. A, 34, 194,477. 
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