Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2024/ii/paper-3/5l/solution

In a linear model containing an intercept, the normal equations make the residual vector orthogonal to every design column. In particular , so
up to floating-point rounding.
The second design matrix has random Gaussian columns plus the intercept, hence is a random matrix. It has full rank with probability one because the determinant vanishes only on a measure-zero algebraic set. Its column space is then all of , so the fitted vector equals , the residual sum of squares is zero, and .

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