Hi Gov. 2001 folks,
Olivia, thank you for quick response.
No. You should estimate sigma^2 according to the
equation from
the section hand out. You cannot use the sd() function to
calculate sigma.
I didn't know sd function.
But, in order to compute 95% quantile of normal distribution,
we should get standard error, even if we don't name it such?
I read
Rice's p. 538.
But I can't understand, in the proof of theorem B,
how he uses symmetry of X'X and XX'.
Z <- matrix(1:12, nrow = 2, ncol
= 6)
t(Z) %*% Z # Note that entry (i,j) is the same as entry (j,i)
for all i and j.
Z %*% t(Z) # Also symmetric!
I knew that.
My question is how he takes advantage of symmetry of X'X and XX'
in deriving sigma^2(X'X)^-1 from (X'X)^-1 X'SIGMAeeX(X'X)^-1
Kentaro