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OLS estimator is the minimum-variance linear unbiased estimator even without the assumption of Gaussian distribution.
by LudwigNagasena 10mo ago
OLS estimator is the minimum-variance linear unbiased estimator even without the assumption of Gaussian distribution.
- rjdj377dhabsn 10mo agoYes, and if I remember correctly, you get the Gaussian because it's the minimum entropy (least additional assumptions about the shape) continuous distribution given a certain variance.
- porridgeraisin 10mo agoAnd given a mean.