Linear regression coefficients and covariance
For fixed full-column-rank X and Y=Xβ+ε with Eε=0 and Cov ε=σ²I, least squares gives β̂=(XᵀX)⁻¹XᵀY, Eβ̂=β and Cov β̂=σ²(XᵀX)⁻¹.
Key knowledge
For fixed full-column-rank X and Y=Xβ+ε with Eε=0 and Cov ε=σ²I, least squares gives β̂=(XᵀX)⁻¹XᵀY, Eβ̂=β and Cov β̂=σ²(XᵀX)⁻¹. Independent normal errors additionally make β̂ exactly multivariate normal.
Conditions and scope
- The mean relationship and error covariance are model assumptions.
- Predictor measurement error, dependence or unequal error variance require a different uncertainty model; numerical QR avoids explicit normal-equation inversion.
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References
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Evidence and review
Lecture 25 fixed-design model, likelihood/least-squares formula and exact Gaussian distribution footnote.
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