Variance, Covariance Matrix, Linear Regression, Standard Error, Confidence Interval.
multiplication of (β — β_cap) and its transpose (β and β_cap)’. Conditional variance of β_cap (Image by Author) The matrix (β — β_cap) is of size (k x 1) and its transpose (β — β_cap)’ is of size (1 x k) and therefore their product is a square matrix of size (k x k) which is exactly what we want in