On a matrix identity associated with generalized least squares
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de Hoog, F. R.
Speed, T. P.
Williams, E. R.
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Abstract
This note discusses an identity which is useful in the construction of reduced generalized least-squares equations, in the REML method of estimating variance components, and in calculating best linear unbiased predictors. The identity is shown to be a singular form of a better-known matrix relation. Some applications of the result are presented.
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Linear Algebra and Its Applications
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