Numerical Methods Equality of OLS and AITKEN Estimatorsстатья
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Аннотация:We investigate the properties of multiple linear regression estimators obtained by the Ordinary LeastSquares method (OLS) and the Generalized Least Squares method (GLS, Aitken estimator) assumingsubstantially different errors in input data. We illustrate the mechanism that leads to fallacious conclusionsabout the quality of OLS and Aitken estimators based on visual graphical analysis of experimental data.Numerical simulation and comparative analysis of the estimators is carried out for simple and parabolicregression models.