gls开发_广义最小二乘gls数学推导直觉

gls开发

背景与动机(Background and Motivation)

For anyone pursuing study in Statistics or Machine Learning, Ordinary Least Squares (OLS) Linear Regression is one of the first and most “simple” methods one is exposed to. However, there are a set of mathematical restrictions under which the OLS estimator is the Best Linear Unbiased Estimator (BLUE), i.e. the unbiased estimator with minimal sampling variance. (For a more thorough overview of OLS, the BLUE, and the Gauss-Markov Theorem, please see my previous piece on the subject)

对于那些追求统计学或机器学习的人来说，普通最小二乘(OLS)线性回归是人们最早接触到的“最简单”方法之一。 但是，存在一组数学限制，在这些数学限制下，OLS估计器是最佳线性无偏估计器(BLUE)，即具有最小采样方差的无偏估计器。 (有关OLS，BLUE和Gauss-Markov定理的更全面概述，请参阅我关于该主题的上一篇文章)

What if the mathematical assumptions for the OLS being the BLUE do not hold? The next “leap” is Generalized Least Squares (GLS), of which the OLS is in fact a special case of. This article serves as an introduction to GLS, with the following topics covered:

如果OLS为BLUE的数学假设不成立怎么办？ 下一个“跳跃”是广义最小二乘(GLS) ，而OLS实际上是其中的一个特例。 本文是GLS的简介，涵盖了以下主题：

1. Review of the OLS estimator and conditions required for it to be BLUE
   审查OLS估计量及其变为蓝色所需的条件
2. Mathematical set-up for Generalized Least Squa