Consider a general linear model with n × p design matrix Z, and let denote the vector of residuals. (In other words, the ith coordinate of where
a. Show that W = DY, where
D = I ? Z(Z'Z)?1Z'.
b. Show that the matrix D is idempotent; that is, DD = D.
c. Show that Cov(W ) = ?2D.
This question was answered on: Jul 11, 2017
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