Correlated Errors
The above may be generalized to the case of correlated errors. Suppose that the covariance matrix of the errors is Σ. Then since
the hat matrix is thus
and again it may be seen that H2 = H.
Read more about this topic: Hat Matrix
Famous quotes containing the words correlated and/or errors:
“...care and labor are as much correlated to human existence as shadow is to light ...”
—Harriet Beecher Stowe (1811–1896)
“Let us pardon him his hope of a vain apocalypse, and of a second coming in great triumph upon the clouds of heaven. Perhaps these were the errors of others rather than his own; and if it be true that he himself shared the general illusion, what matters it, since his dream rendered him strong against death, and sustained him in a struggle to which he might otherwise have been unequal?”
—Ernest Renan (1823–1892)