Let Y=Z3+ € denote the standard form of the multivariate regressionmodel where Y is a matrix of n observations on m dependent variables, Zis the nx (r + 1) design matrix, 3 is the matrix of regression coefficientsand denotes the error matrix. Let Σ denote the m × m covariancematrix of any row of e and assume the rows are independent. The leastsquare estimate for 3 is 3 = (Z'Z)-¹Z'Y. The projection matrix isH = Z(Z'Z)-¹Z'. Let the ith column of 3 be denoted by 3, and thei, jth element of Σ by oij. Define the sample covariance matrix of theresiduals byProve(e) E(Σ) = Σ(f) cov(₁,3)=01n-p-1

From the given information, Here,

Answered: Let Y=Z3+ denote the standard form of…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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