STAT 425 Week 03 - Multiple Linear Regression - Part 2

This video shows how to derive the expectation vector, covariance matrix and joint distribution for LS estimators in multiple linear regression. Using the same general approach we also derive the statistical properties of the vectors of fitted values and residuals. Two optimal properties of the LS estimator are discussed: 1) Best linear unbiased estimator, and 2) Maximum likelihood estimator if the errors are Gaussian.