Question: Do Exercise 15 when E (Y ) = X$, (3 = ((3i,...,(3p)' and E(Y X $)(Y - Xpy = a 2/. Show that cov((
Do Exercise 15 when E (Y ) = X$, (3 = ((3i,...,(3p)' and E(Y —
X $)(Y - Xpy = a 2/. Show that
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cov(( X(X'X)-'X')Y) = o(I - X(X'X)-'X').
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