Variance, Covariance Matrix, Linear Regression, Standard Error, Confidence Interval.
of its mean-subtracted a.k.a. “de-meaned” value. Thus, Var(Z) = E[(Z — Z_bar)²]. We know that the mean of β_cap is the population level value of coefficients β. Since β and β_cap are (k x 1) column vectors, we can concisely express the formula for variance by taking the expectation of the