Comment by LudwigNagasena
3 days ago
OLS estimator is the minimum-variance linear unbiased estimator even without the assumption of Gaussian distribution.
3 days ago
OLS estimator is the minimum-variance linear unbiased estimator even without the assumption of Gaussian distribution.
Yes, 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.
And given a mean.