Question: Suppose we are estimating a linear model: y = X + e However instead of the V ar(e) = 2In, we know that V ar(e)

Suppose we are estimating a linear model: y = X + e However instead of the V ar(e) = 2In, we know that V ar(e) = . Derive the optimal OLS estimator given this condition. That is, minimize e1e and obtain the optimal estimator. It may be helpful to take the square root , i.e., = 1/21/2

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