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A routine exercise designed to test one's knowledge; often from a textbook, course, or test used for a class or self-study. This community's policy is to "provide helpful hints" for such questions rather than complete answers.

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1 answer
12k views

Proof that regression residual error is an unbiased estimate of error variance

Consider the least squares problem $Y=X\beta +\epsilon$ while $\epsilon$ is zero mean Gaussian with $E(\epsilon) = 0$ and variance $\sigma^2$. I need to prove that $\frac{V(\hat{\beta})}{N-(n+m)}$ i …
bananamanana's user avatar