An Illustrated Guide to The Variance-Covariance Matrices Used In Regression Analysis

Probability distributions of coefficient estimates (Image by Author)

An Illustrated Guide to the Variance-Covariance Matrices Used in Regression Analysis

An illustration of how an artifact that is fundamental to regression modeling is constructed, using a real-world data set

The variance-covariance matrix forms the keystone artifact of regression models. The variance-covariance matrix of the regression model’s errors is used to determine whether the model’s error terms are homoskedastic (constant variance) and uncorrelated. The variance-covariance matrix of the fitted regression model’s …

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