OLS Estimator

Also known as · ordinary least squares · least squares estimator · OLS · OLS estimation

The estimator that minimises the sum of squared residuals.

β^=(X⊤X)−1X⊤y\hat{\beta} = (X^\top X)^{-1} X^\top y

Under the Gauss–Markov assumptions OLS is BLUE — best linear unbiased estimator. Loses BLUE-ness under Heteroskedasticity (still unbiased, but not minimum variance among linear unbiased estimators).

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