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A best linear unbiased estimator minimizes covariance among linear estimators unbiased for the same target. In $Y=X\beta +\epsilon$, assume $\mathbb{E}\epsilon =0$, $X$ is a full-column-rank design matrix and the known covariance matrix $\Sigma$ is a positive-definite matrix. The best linear unbiased estimator of the coefficient vector is $(X^T{\Sigma }^{-1}X{)}^{-1}{X}^T{\Sigma }^{-1}Y$. A spatial trend estimate excludes the correlated residual prediction included in universal kriging.

For a fixed centered design matrix $X$, independent errors of variance ${\sigma }^2$, and objective $\Vert Y-X\beta {\Vert }^2+a\Vert \beta {\Vert }^2$, put $G=X^{T}X$ and $M=G+aI$. The ridge regression estimator hasThus its standard error alone does not justify centering a confidence interval for $\beta$ at the biased estimator. A penalty chosen from the responses also changes its sampling distribution.

For a full-rank ordinary least squares design matrix, the hat matrix $H$ and residual projection $G=I-H$ satisfy $HG=GH=0$. Hence fitted values and regression residuals are perpendicular as observed vectors. Under isotropic errors their cross-covariance matrix is zero, and under a normal linear model the two vectors are independent.

Let $0<c<1$, $A>0$, $\sigma >0$ and $p\ge 2$. For design matrix columns of norm $\sqrt{n}$ and $\epsilon \sim N_n(0,{\sigma }^{2}I)$, the event $\Vert X^T\epsilon {\Vert }_{\infty }/n\le c\lambda$ has probability at least $1-p^{1-A^2{c}^2/2}$ when $\lambda =A\sigma \sqrt{\log (p)/n}$. Apply the sharp two-sided Gaussian tail bound to each standardized score and then the union bound; independence of the scores is not required.

An indicator variable of an event $A$ is one on $A$ and zero outside $A$. Indicator columns encode categorical levels in a design matrix.