Question

Based on the definition of the linear regression model in its matrix form, i.e., y=Xβ+ε, the assumption that ε~N(0,σ2I), the general formula for the point estimators for the parameters of the model (b=XTX-1XTy), and the definition of varb=Eb-Ebb-EbT

1. Show that varb=σ2XTX-1

Note: the derivations in here need to be done in matrix form. Simple algebraic method will not be allowed.

Answer 1

thank you