关键词: inefficiency, relative efficiency, mean squared error, generalized variance, matrix derivative, best linear unbased estimator

Abstract: It was suggested by Pantanen that the mean squared error may be used to measure the inefficiency of the least squares estimator.Styan[2] and Rao[3] et al.discussed this inefficiency and it’s bound later.In this paper we propose a new inefficiency of the least squares estimator with the measure of generalized variance and obtain its bound.

Key words: inefficiency, relative efficiency, mean squared error, generalized variance, matrix derivative, best linear unbased estimator