Suppose Y is an n 1 random vector, X is an n p matrix of

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Suppose Y is an n × 1 random vector, X is an n × p matrix of known constants of rank p, and β is a p × 1 vector of regression coefficients. Let Y have a N(Xβ, σ2I) distribution. Discuss the joint pdf of ˆβ = (X'X)−1 X'Y and Y' [I −X(X' X)−1X' ]Y /σ2.

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Introduction To Mathematical Statistics

ISBN: 9780321794710

7th Edition

Authors: Robert V., Joseph W. McKean, Allen T. Craig

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