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Sep 6, 2016 at 23:51 history edited Glen_b CC BY-SA 3.0
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Sep 6, 2016 at 22:57 history edited Glen_b CC BY-SA 3.0
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Sep 6, 2016 at 22:50 comment added Glen_b @fcop see the first paragraph of the wikipedia article on general linear models I linked, in particular the part where it talks about the errors $U$ coming from a multivariate normal distribution. However, because of the fact that we have two potential sources of correlation (within the observation vector and between observation vectors) my post was ambiguous/unclear/misleading. I will clarify it to make it clearer that it's the first thing. Thanks for the helpful comment.
Sep 6, 2016 at 19:21 comment added user83346 could it be that what you describe is ''general least squares'' ? see e.g. data.princeton.edu/wws509/notes/a2.pdf versus homepage.ntu.edu.tw/~ckuan/pdf/et01/et_Ch4.pdf
Sep 6, 2016 at 15:50 vote accept user_anon
Sep 6, 2016 at 15:47 history edited Glen_b CC BY-SA 3.0
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Sep 6, 2016 at 14:56 history answered Glen_b CC BY-SA 3.0