Lecture

Distribution Theory of Least Squares

Description

This lecture covers the distribution theory of least squares estimators in the context of a Gaussian linear model. It explains the sampling distribution of the estimators, including Â and ở, and their precision for building confidence intervals and testing hypotheses. The lecture also discusses the sampling distribution of the least squares estimators under a Gaussian model, providing theorems and corollaries related to the unbiasedness of S² and ô². Additionally, it delves into confidence and prediction intervals construction, highlighting the importance of understanding the precision of estimators in statistical analysis.

Instructors (2)

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Official source

https://mediaspace.epfl.ch/media/0_vet38ttt

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics, Statistical hypothesis testing

Data analysis: Regression analysis

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