Parameter Dispersion (Variance-Covariance) Matrix
The dispersion matrix for the parameter estimates 
is the matrix 
, where 
is the covariance of 
and 
. The dispersion matrix is calculated according to the formula
where S2 is the estimated variance, as defined above, and X and 
are the regression matrix and its transpose, respectively.
is the matrix , where is the covariance of and . The dispersion matrix is calculated according to the formula where S2 is the estimated variance, as defined above, and X and are the regression matrix and its transpose, respectively.
