Variance, Covariance Matrix, Linear Regression, Standard Error, Confidence Interval.
We know that ϵ is a column vector of size (n x1) and so its transpose is a row vector of size (1 x n). Therefore, their product ϵϵ’ is a square matrix of size (n x n) as follows: The conditional variance-covariance matrix of error terms of the model (Image by Author) Since the mean of error terms