How to calculate a variance-covariance matrix of coefficients for multivariate (multiple) linear regression?
Something like (equation below), but for the multivariate case.
Being more specific I'm interested in equations for diagonal terms.
The question is different from:
How to derive variance-covariance matrix of coefficients in linear regression
Because of the MULTIVARIATE regression case.
How to calculate a variance-covariance matrix of coefficients for multivariate (multiple) linear regression?
Something like (equation below), but for the multivariate case.
Being more specific I'm interested in equations for diagonal terms.
How to calculate a variance-covariance matrix of coefficients for multivariate (multiple) linear regression?
Something like (equation below), but for the multivariate case.
Being more specific I'm interested in equations for diagonal terms.
The question is different from:
How to derive variance-covariance matrix of coefficients in linear regression
Because of the MULTIVARIATE regression case.
How to calculate a variance-covariance matrix of coefficients for multivariate (multiple) linear regression?
Something like (equation below), but for the multivariate case.
Being more specific I'm interested in equations for diagonal terms.
