Exercise 9 10 6 Let y1, y2, , yn be i i d N(X , ), where nn is unknown Show that the maximum likelihood estimate of X is X X(XE1X) XE1 y ...

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Exercise 9.10.6. Let y1, y2, , yn be i.i.d. N(X , ), where nn

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Exercise 9.10.6. Let y1, y2, · · · , yn be i.i.d. N(Xβ ,Σ ), where Σn×n is unknown.

Show that the maximum likelihood estimate of Xβ is X ˆβ = X(XE−1X)

−XE−1 ¯ y· .

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Advanced Linear Modeling

ISBN: 9783030291631

3rd Edition

Authors: Ronald Christensen

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Question Posted: Aug 31, 2024 06:05 AM

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Exercise 9.10.6. Let y1, y2, , yn be i.i.d. N(X , ), where nn

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Advanced Linear Modeling

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