XT(t)β(t) + ε1 (t) (1) Y (t) = XT(t)α(t) + ε2 (t) where ε1 (t) ∼ N 0, σ2 1 (t) with corr {ε1 (tj ), ε1 (tk )} = ρ1 (tj , tk ) for j = k ε2 (t) ∼ N 0, σ2 2 (t) with corr {ε2 (tj ), ε2 (tk )} = ρ2 (tj , tk ) for j = k corr {ε1 (t), ε2 (t)} = τ(t) corr {ε1 (tj ), ε2 (tk )} = ρ12 (tj , tk ) for j = k