This article presents a matrix formulation of recursive forms for best linear unbiased estimators [Xcirc]Nof the parameter vector x in the linear model yi=hix+ei, i = 1,2, ···, N when the observation vectors yiare correlated. If data are collected in sequence one can formulate recursive forms of the estimator [Xcirc]Nso that it is not necessary to store all the previous data but only previous estimates and current data. This requires less storage space to obtain best linear unbiased estimators. This is especially advantageous in real-time estimation problems.