BLUE
In
statistics, and in particular in estimation theory, "BLUE" is an acronym for
Best
Linear
Unbiased
Estimator. This means that given a sample of data, the
estimator is a linear combination of this data which measures the right quantity with no systematic errors (
unbiased) and is the most
efficient (best) because its
variance is minimal.
The
Gaussâ€"Markov theorem states that for a linear model in which errors obey certain assumptions (they have
expectation zero, are
uncorrelated and have equal variances), the
ordinary least squares estimator is BLUE.
