5.17 For the situation of Example 5.5, relax the assumption of normality to only assume that Ai and Uij have zero means and finite second moments. Show that among all linear estimators (of the form
cij xij , cij known), the UMVU estimator of µ + αi (the best linear predictor) is given by (5.14).

[This is a Gauss-Marko