Answers are grounded in this paper and cite their sources.
Least squares linear composites of predictors for estimating several criteria are derived, satisfying the restriction that the composites have an arbitrary specified intercorrelation matrix. These composites are compared with the usual unrestricted regression composites. An illustrative example is provided. The derivation depends on a general result, given in an appendix, about best-fitting orthonormal transformations.
No takes yet. Share an insight, caveat, or question.
Bert F. Green (1969) studied this question.
Synapse has enriched 10 related papers. Consider them for comparative context: