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Q147Section III (Statistics)147 of 180

Non-estimable linear parametric functions

Consider the linear model Yn×1=Xn×pθp×1+ϵn×1Y_{n\times1}=X_{n\times p}\theta_{p\times1} +\epsilon_{n\times1} with E(ϵ)=0\mathbb{E}(\epsilon)=0 and Cov⁡(ϵ)=σ2In\operatorname{Cov}(\epsilon)=\sigma^{2}I_n. If CC is a p×1p\times1 vector such that C′θC'\theta is not estimable, then which statement is always true?

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