一 般情况下： Y-XB+u W1 W2 E()=0 W= Cov(四)=E(u)=o2W Wn D-Y=D-XB+D-u W是一对称正定矩 阵，存在一可逆矩 Y幸=X*B+u 阵D使得W=DD E(u.B.)E(D-u u'D)=D-E(uu)D- =D-02QD-=D-o2DD'D'=02I• 一般情况下: Y=X+ μ μμ W μ 2 ( ) ( ) ( ) 0 =  =  = Cov E E W =             w w wn 1 2  W是一对称正定矩 阵，存在一可逆矩 阵D使得W=DD’ D −1 Y = D −1 Xβ+ D −1 μ Y* = X* β+μ* 1 2 1 1 2 1 1 1 1 1 ( ) ( ) ( ) − − − − − − − − =    =  =   =   D ΩD D DD D μ* μ* D μμD D μμ D   E E E I 2 = 