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Abstract: The method of ''natural'' estimation of variances in a general (orthogonal or nonorthogonal) finite discrete spectrum linear regression model of time series is suggested. Using geometrical language of the theory of projectors a form and properties of the estimators are investigated. Obtained results show that in describing the first and second moment properties of the new estimators the central role plays a matrix known in linear algebra as the Schur complement. Illustrative examples with particular regressors demonstrate direct applications of the results. Contact the authors: martina.hancova@upjs.sk Download PDF version of the preprint. |