Hello, everybody!
Assume standart linear regressian model , where X is N x p matrix and b is vector of parameters.
It is given, that one can calculate joint confidence band to parameter vector by
,
where is - quantile of distribuion.
What I am concerned about is that term p under the square root. If I want to calculate confidence band for only one ,
then this p under square root is equal to 1?
That is:
?