2. Consider y = X8+€, where X and € are matrixes whose entries are random variables, and 8 which is a vector of real num

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2 Consider Y X8 Where X And Are Matrixes Whose Entries Are Random Variables And 8 Which Is A Vector Of Real Num 1 (17.28 KiB) Viewed 82 times

2. Consider y = X8+€, where X and € are matrixes whose entries are random variables, and 8 which is a vector of real numbers. Assume X'X is always invertible. Consider the following vector of random variables B = (X'X)-?x'y. (a) Show that if X and e are independent, and E[c] = 0; then Elf) = B. (b) Show that if E[XcX] 0, then E[ BX] = B. Can we conclude that E ) = 8?