Variance, Covariance Matrix, Linear Regression, Standard Error, Confidence Interval.
and zeros in all other elements. It is usually denoted as I_n (I subscript n) or simply I and is a square matrix of dimension (n x n). The Identity matrix is conceptually a multi-dimensional version of the number 1. I_n has the following properties: I_n raised to any power equals I_n. For e.g. I³=I