BLUE
Units & Measurements abbreviation · Statistics
| Stands for | Best linear unbiased estimator |
|---|---|
| Categories | Units & Measurements |
BLUE stands for Best linear unbiased estimator, a statistics abbreviation.
The estimator with the smallest variance among all linear unbiased estimators. The Gauss-Markov theorem states that OLS is BLUE when errors have zero mean, constant variance and no correlation.
Example: Under homoskedastic errors, OLS is BLUE, so no other linear unbiased estimator is more precise.
Usage notes
The theorem does not require normally distributed errors. When errors are heteroskedastic or correlated, generalized least squares takes over as BLUE. Biased estimators such as ridge regression can still achieve lower mean squared error, which is why "best" here is restricted to unbiased estimators.
Related abbreviations
More statistics abbreviations
- ANCOVA – Analysis of covariance
- ANOVA – Analysis of variance
- ARIMA – Autoregressive integrated moving average
- ATE – Average treatment effect
- avg – Average
- BIC – Bayesian information criterion
- CDF – Cumulative distribution function
- CFA – Confirmatory factor analysis
- CI – Confidence interval
- CLT – Central limit theorem
- Cov – Covariance
- CV – Coefficient of variation