Timeline for Covariance matrix of least squares estimator $\hat{\beta}$
Current License: CC BY-SA 3.0
3 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jun 7, 2016 at 16:49 | comment | added | Alecos Papadopoulos | @MrYouMath $I$ is the identity matrix and so it is diagonal. This is the "homoskedastic and uncorrelated errors" assumption. Normality is not assumed. | |
| Jun 7, 2016 at 16:26 | comment | added | MrYouMath | Could you explain why $E(UU'\mid Z) = \sigma^2I$ does that imply that the variance of each error term is equal to $\sigma^2$? I rather thought that it should be a diagnoal matrix. Which assumption is this (uncorrelated errors + Normal distribution?)? | |
| Oct 16, 2013 at 11:45 | history | answered | Alecos Papadopoulos | CC BY-SA 3.0 |