=+13.25. Derive the expression of MSPE (13.100) in the case that A is unknown. [Hint: First, note

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=+13.25. Derive the expression of MSPE (13.100) in the case that A is unknown. [Hint: First, note that ˜ζM = y − R(y − Xβ). Also note that E(e

Ry)=E{e

R(μ + v + e)} = E(e

Re) = tr(RD).]

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Large Sample Techniques For Statistics

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Authors: Jiming Jiang

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=+13.25. Derive the expression of MSPE (13.100) in the case that A is unknown. [Hint: First, note that M = y R(y X). Also note that E(e Ry)=E{e R( + v + e)} = E(e Re) = tr(RD).]
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=+13.25. Derive the expression of MSPE (13.100) in the case that A is unknown. [Hint: First, note

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Large Sample Techniques For Statistics

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