Consider y=X8+c=X1B1+ X22+e, where X is n xp full-rank design matrix with e~ N(0,01) and B E

Consider y=X8+c=X1B1+ X2ß2+e, where X is n xp full-rank design matrix with e~ N(0,01) and B E R for 14p. 

(a) Derive the score function S(5) S(B1, B2), and show that S(6) N(0,0-2XTX). 

(b) Let By be the m.le. of B2 with B10 known, and let 51(B1, B2) be the vector of the first 4 elements of S(B). Show that os (0,82) (XT(1-H₂) X₁).

Answer rating: 100% (QA)

a SB1B2XeXyX SB1B2XeXyX XyXX XTX1XTyXTX... View the full answer