Estimation of a linear transformation and an associated distributional problem

A multivariate “errors in variables” regression model is proposed which generalizes a model previously considered by Gleser and Watson (1973). Maximum likelihood estimators MLE's] for the parameters of this model are obtained, and the consistency properties of these estimators are investigated. Distribution of the MLE of the “error” variance is obtained in a simple case while the mean and the variance of the estimator are obtained in this case without appealing to the exact distribution.