I'm reading Faraway's book (http://cran.r-project.org/doc/contrib/Faraway-PRA.pdf) to try to understand R's lm diagnostic plots. On page 72 of the book is this:
I have been trying to understand a few things about this for a few days reading online and some help would be very, very appreciated.
- In the derivation of $var(\hat\varepsilon)$, why did the term $(1-H)X\beta$ vanish? Where did it go?
- What is an intuitive explanation of what $h_i$ means in terms of my data? What does each $h_i$ in the $H$ vector (not matrix?) correspond to? How is $h_i = H_ii$?
- What is $p$?