3. The estimators
In the multiple linear regression, an important task is to estimate the unknown regression parameters
β using an appropriate method of estimation. In this section, some of the existing estimation
methods of β are briefly discussed as follows.
Least squares (LS) estimator
For the multiple linear regression model given in Eq. (1.1), the LS estimator of the unknown regression
parameters β is defined as
ˆβ
LS =
X′X
−1 X′Y. (3.1)
Any standard textbook of regression like Draper and Smith [4], Montgomery et al. [16] give detailed
description about the LS estimator.