Variance, Covariance Matrix, Linear Regression, Standard Error, Confidence Interval.
of the regression matrix X. We’ll now derive a matrix based formulation for the Residual Sum of Squares. Let’s reexamine the vector of error terms ϵ in equation (1). For a sample of size n, ϵ is a column vector of size (n x 1): Vector of regression errors (Image by Author) Each ϵ_i is a random