Exercise 9.10.5. Based on the multivariate linear model Y = XB+e, E (e) = 0, Cov(i, j)
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Exercise 9.10.5. Based on the multivariate linear model Y = XB+e, E
(e) = 0, Cov(εi,ε j) =δi jΣ , find a 99% prediction interval for y
0ξ , where y0 is an independent observation that is distributed N(Bx0,Σ ).
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