SourcePro : Business Analysis Module User’s Guide : Definitions : Multiple Linear Regression : Parameter Dispersion (Variance-Covariance) Matrix
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.