Var(beta) = sigma^2 (X'X)^-1 (ESL eq 3.8), depending on the design only.
Usage
morie_esl_var_beta_hat(X, sigma2)
Arguments
- X
Design matrix of full column rank.
- sigma2
Noise variance.
Value
Named list: estimate, covariance (p x p), variances, se, n, p.
References
Hastie, Tibshirani & Friedman (2009), sec. 3.2.
Examples
morie_esl_var_beta_hat(cbind(1, c(1, -1, 1, -1)), 1)$variances
#> [1] 0.25 0.25
