Abstract: This paper considers comparison of MINQUE and simple estimator of ∑ in the multivariate normal linear model Y~N(XB,∑⊙V) under the risk of squared loss function criterion, where the design matrix X need not have full rank and the dispersion matrix V can be singular. A necessary and sufficient condition is obtained.

Key words: MINQUE, risk, squared loss function, multivariate linear model, MINQUE, risk, squared loss function