Abstract:

Von Rosen (1989) proposed the MLE of parameters in multivariate linear normal model MLNM(Pm i=1 AiBiCi). This paper discusses some roperties of Rosen’s MLE for general distributions which includs invariant, equivariant, strong consistency and asymptotic normality. Furthermore, we can construct the consistent confidence region for the parameter of experctation in MLNM( Pm i=1 AiBiCi) and obtain asymptotic distrib- ution and consistent confidence region of the linear discrimination function for canonical correlation by Kahtri (1988).

Key words: Multivariate linear model, MLE, invariant and equivariant, asymptotic nor-mality, consistent confidence region