3.2. Statistical Background
A multivariate linear model in p (possibly correlated) response variables y1,...,yp and k independent or predictor variables x1,...,xk is represented by a system of p univariate linear models
where yi, xi, and ϵi are all n by 1 vectors. The vectors yi and xi are respectively the data vectors on the variables yi and xi. These equations can compactly be represented using matrix notation as
Y=XB + ϵ, (3,2)
where
and ɛ = (ϵ1:ϵ2:... :ϵp). The vector 1n here represents an n by 1 column vector with all elements as unity. ...
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