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:

?