Exercise 1.10 For a linear model Y = X +e, E (e) = 0, Cov (e) =

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Exercise 1.10 For a linear model Y = Xβ +e, E

(e) = 0, Cov

(e) =σ 2I, show that E(Y) = Xβ and Cov(Y) =σ 2I.

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