Variance, Covariance Matrix, Linear Regression, Standard Error, Confidence Interval.
matrix X^(-1) times X equates to I_n. i.e. X^(-1)X=I. Just as in the scalar world, 1/n times n is 1. Now let’s apply these concepts to the topic at hand which is the derivation of covariance matrix for the linear regression model. Formulation of the variance-covariance matrix of a regression model