Question: Consider the p dimensional multiple linear model y = X + where X0X = D is a diagonal matrix, D = diag(dj ), and one

Consider the p dimensional multiple linear model y = X + where X0X = D is a diagonal matrix, D = diag(dj ), and one of these elements, say d1 = is very small and 1/ is very large. (1) (10 pts) What is the problem with using the ordinary least squares estimate; i.e. b = (X 0X) 1X 0 y

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