Restricted maximum likelihood (REML) estimation is a method employed to estimate variance-covariance parameters from data that follow a Gaussian linear model. In applications, it has either been conjectured or assumed that REML estimators are asymptotically Gaussian with zero mean and variance...

Assuming a general linear model with known covariance matrix, several linear and nonlinear predictors are presented and their properties are discussed. In the context of simultaneous multiple prediction, a total sum of squared errors is suggested as a loss function for comparing predictors....