Suppose X, Y, Z are independent normal random variables, each having variance 1. The means are +,
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Suppose X, Y, Z are independent normal random variables, each having variance 1. The means are α+β, α+2β, 2α+β, respectively: α,β are parameters to be estimated. Show that maximum likelihood and OLS give the same estimates. Note: this won’t usually be true—the result depends on the normality assumption.
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