Question: 2. Confidence Set for Regression CoefficientsConsider the linear regression model with p parameters, fit by least squares to a set of training data (x1, y1),

2. Confidence Set for Regression CoefficientsConsider the linear regression model with p parameters, fit by least squares to a set of training data (x1, y1), . .., (@N, UN) draw form the population distribution where xi ~ Np (0, E) and yi = x, B + ci with ci ~ N(0, 02). Please use one method to construct confidence sets for 3. If you have more than one practical methods of constructing confidence sets for 3, you will obtain bonus points

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