A characterization of the normal distribution by sufficiency of the least squares estimation (Q1101151)
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English | A characterization of the normal distribution by sufficiency of the least squares estimation |
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A characterization of the normal distribution by sufficiency of the least squares estimation (English)
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1987
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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.
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characterization of the normal distribution
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sufficiency of the least squares estimation
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condition of independence
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multivariate linear model
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