Statement of a problem № m41021


Consider a general linear model with n × p design matrix Z, and let denote the vector of residuals. (In other words, the ith coordinate of where a. Show that W = DY, where D = I − Z(Z Z)−1Z . b. Show that the matrix D is idempotent; that is, DD = D. c. Show that Cov(W ) = σ2D.

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