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The distribution of a generalized least squares estimator with covariance adjustment

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  • Kenward, M. G.

Abstract

The distribution theory is developed for a generalized least squares estimator of the growth curve model. A special case of the estimator is the maximum likelihood estimator which is weighted by the sample covariance matrix. The distribution of two conditional forms of the estimator are derived and from these its density is obtained. Two general pivots and their distributions are derived from the conditional forms and special cases of these are investigated. The results obtained are linked to carlier work.

Suggested Citation

  • Kenward, M. G., 1986. "The distribution of a generalized least squares estimator with covariance adjustment," Journal of Multivariate Analysis, Elsevier, vol. 20(2), pages 244-250, December.
    • Handle: RePEc:eee:jmvana:v:20:y:1986:i:2:p:244-250
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    Cited by:

    1. Bai, Peng & Shi, Lei, 2007. "Exact distributions of MLEs of regression coefficients in GMANOVA-MANOVA model," Journal of Multivariate Analysis, Elsevier, vol. 98(9), pages 1840-1852, October.

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