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Consider the general linear model in which the observations Y1, . . . , Yn are independent and have normal distributions with the same variance σ2 and in which E(Yi) is given by Eq. (11.5.1). Let the matrix (ZZ)−1 be defined by Eq. (11.5.19). For all values of i and j such that i ≠ j, let the random variable Aij be defined as follows:
Show that and explain why are therefore independent. |
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