On a matrix identity associated with generalized least squares
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The authors would like to thank Professor D.R. Cox for drawing the reference Pukelsheim (1976) to their attention, and Professor G.P.H. Styan for his interest, for pointing out further references and for suggesting a better proof of the limiting result.
Partial support from NSF DMS-8802378 is gratefully acknowledged.
Copyright © 1990 Published by Elsevier Inc.