is part of
linear regression for analysis of continuous dependent variable
model parameter estimation
generalized least squares estimation
GLS estimation
Philippe Rocca-Serra
Tom Nichols
http://en.wikipedia.org/wiki/Generalized_least_squares and Tom Nichols
http://stat.ethz.ch/R-manual/R-devel/library/nlme/html/gls.html
the generalized least squares estimation is a model parameter estimation for a linear regression model with errors that are dependent and (possibly) have heterogeneous variance. Difficult to use use in practice, as covariance matrix of the errors must known to "whiten" data and model. If true covariance is known, it is the Best Linear Unbiased Estimation (BLUE) method under these assumptions, Uniformly Minimum-Variance Unbiased Estimator (UMVUE) with addition of a Gaussian assumption.
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