Variance, Covariance Matrix, Linear Regression, Standard Error, Confidence Interval.
column of X is a column of 1s holding the place for the intercept of regression β_1. Here’s the matrix form: The matrix form of the linear regression model (Image by Author) Solving (a.k.a. “fitting”) this model on a sample of size n, yields estimated values of β which we will denote as β_cap.