Statistics: Generalized Least Squares

From MathWiki

Visualizing information on β1

Image:VisualizingGLS.png The information on β1 is \frac{\overline{O\,Q{{X}_{1}}}}{\overline{OB}} which is maximized for fixed X1 and Σ when X2 is conjugate to X1 in the sense that X_{2}^{\prime }{{\Sigma }^{-1}}{{X}_{1}}=0.