A characterization of the normal distribution by sufficiency of the least squares estimation (Q1101151): Difference between revisions

It is proved that if \(y=\theta +Z\), where the unknown parameter \(\theta\) is an element of a linear subspace V of \(R^ n\) and Z is a nondegenerate random vector with independent components each having mean zero, then, under fairly general conditions on V, the projection of \(R^ n\) on V (with respect to a certain scalar product) is a sufficient statistic for the class of distributions of y if and only if Z is normally distributed. The condition of independence of components of Z can not be relaxed but the authors succeed in extending the above result to the set-up of the multivariate linear model.