On Conditions for Equality of OLSE, GLSE and MLE in Analysis of Covariance Structures
Bishwa Nath Mukherjee, Sadhan Samar Maiti · Calcutta Statistical Association Bulletin · 1988
For all covariance matrices with linear struture, a necessary and sufficient condition for OLSE to be equivalent to GLSE and MLE is shown. For spectrally decomposable class of covariance matrices, Σ, the GLSE with V = Σ -1 , MLE and OLSE are shown to be equivalent. In case of intraclass Σ such equivalence is true for any intraclass V. The implications of the results are discussed.