Question: theoretical Questions Recall the principal-component regression model y = Za + e, where Z = X T, a T', T' X' XT 1. Show

theoretical Questions Recall the principal-component regression model y = Za + e, where Z = X T, a T'", T' X' XT 1. Show that if X' X is in correlation form, A is the diagonal matrix of eigenvalues of X' X, and T is the corresponding matrix of eigenvectors, then the variance inflation factors are the main diagonal elements of TAIT'.

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