Consider the following variance component model Y=Xβ+U_1ε_1+…+U_kε_k, (1) where ε_i=(ε_(il), …, ε_(ini))', i=1, …, k, are independent vectors of independent variables such that Eε_(ij)=Eε_(ij)~3=0, Eε_(ij)~4=3(Eε_(ij)~2)~2(?)3σ_i^4≥0, i=1, …, k; i=1, …, n_i, (2)
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