Let 3 = (X'X)-¹X'Y as shown in class. Let y = w'ß, where w is a column vector. Show that Var(y) = o²w'(X'X)-¹w.

Calculus For The Life Sciences
2nd Edition
ISBN:9780321964038
Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Chapter9: Multivariable Calculus
Section9.CR: Chapter 9 Review
Problem 54CR
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Let 3 = (X'X)-¹X'Y as shown in class. Let y = w'ß, where w is a column vector.
Show that Var(y) = o²w'(X'X)-¹w.
Transcribed Image Text:Let 3 = (X'X)-¹X'Y as shown in class. Let y = w'ß, where w is a column vector. Show that Var(y) = o²w'(X'X)-¹w.
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