Y and e for this example are not given. They are easily computed as Y1 and s2( Y1)
shown in Table 5.2. Likewise, s2( Y ) = Ps2 and s2(e) = (I − P)s2 are
not given; each is a 45 × 45 matrix. Computation of Yi and its variance
is illustrated using the first data point. Each Yi is computed using the
corresponding row vector from X, which is designated x
i. For the first
observation,