(6) S. L. Sclove. Some remarks on normal multivariate regression. Annals of the Institute of Statistical Mathematics 22 (1970), 319-326.

The minimax property of the maximum likelihood estimator for multivariate normal multiple regression is proved, using Kiefer's general invariance theorem and the Hunt-Stein method of averaging over the elements of an appropriate group. There is some consideration of the prediction problem associated with regression, and an interesting modification of the usual prediction procedure is discussed.