Question: 2.63. (Sec. 2.6) Suppose X is distributed according to N(o, I). Let 1= (01' Op)' Prove and E; is a column vector with 1 in

2.63. (Sec. 2.6) Suppose X is distributed according to N(o, I). Let 1= (0"1"'" O"p)'

Prove

where (XX' XX')=+ vec (vec )' + = (1 + )( )

and E; is a column vector with 1 in the ith position and O's elsewhere.

where (XX' XX')=+ vec (vec )' + = (1 + )( ) + vec (vec )', vec - = K

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