Equality of OLS and Aitken Estimators

Resumo

We investigate the properties of multiple linear regression estimators obtained by the Ordinary Least Squares method (OLS) and the Generalized Least Squares method (GLS, Aitken estimator) assuming substantially different errors in input data. We illustrate the mechanism that leads to fallacious conclusions about 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 parabolic regression models.