Variance, Covariance Matrix, Linear Regression, Standard Error, Confidence Interval.
size (n x k), and so X’ is of size (k x n) and therefore the product X’X is a square matrix of size (k x k) and so is its inverse. s² acts as a scaling factor for this matrix. As with any variance-covariance matrix, the elements lying on the main diagonal of this matrix contain the variance of the