Different kinds of sufficiency in the general Gauss-Markov model

Sufficiency is one of the fundamental notions in mathematical statistics. In connection with the general linear Gauss-Markov model GM (y,Xβ, σ 2 V), there are some modifications of this notion such as linear sufficiency (Baksalary and Kala, Drygas) invariant linearly sufficiency (Oktaba, Kornacki, Wawrzosek) and quadratic sufficiency (Mueller). All these variants denote such transformations of the model GM that preserve properties essential in statistical inference. In the present paper we give mutual relations between above three classes of statistics.