The residuals e; = Yi – ĝi have a natural correlation structure when the linear model assumptions are met. In particular
Posted: Sun Sep 05, 2021 5:01 pm
The residuals e; = Yi – ĝi have a natural correlation structure when the linear model assumptions are met. In particular, they have a variance that is proportional to 1 - hii, where hii is the ith diagonal of the hat matrix H = x(x'x)-2x'. So sometimes studentized residuals are used instead for diagnostics: ei ri= Vô2(1 – hii) What is the distribution of the residual vector e, and what is the distribution of the ith residual e