Question: Exercise 2.11.6 Consider the linear model Y1 Y2 = JN1 JN2 + e, E (e) = 0, Cov e1 e2 =

Exercise 2.11.6 Consider the linear model



Y1 Y2


=



JN1 JN2


μ +

e, E

(e) = 0, Cov



e1 e2


=



σ2 1 IN1 0 0 σ2 2 IN2


.

Find the BLUE ˆμand Var( ˆ μ) assuming that the variance parameters are known.

How does the result change if σ2 1 is unknown but σ2 2 /σ 2 1 is known?

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