Estimation of variance and covariance components in linear models

We write a linear model in the form Y=Xβ+Uξ, where β is an unknown parameter and ξ is a hypothetical random variable with a given dispersion structure but containing unknown parameters called variance and covariance components. A new method of estimation called MINQUE (Minimum Norm Quadratic Unbiased Estimation) developed in a previous article [5] is extended for the estimation of variance and covariance components