Consider a linear model y|X~ N(XB, In), where X E RnXP is a random design matrix...

 

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Consider a linear model y|X~ N(XB, In), where X E RnXP is a random design matrix whose marginal distribution is arbitrary. Show it is an exponential family and write down a p+p2 dimensional sufficient statistic for 3 RP. Consider a linear model y|X~ N(XB, In), where X E RnXP is a random design matrix whose marginal distribution is arbitrary. Show it is an exponential family and write down a p+p2 dimensional sufficient statistic for 3 RP.