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Use the formula for t of Exercise 28 to show that if the assumptions underlying normal regression analysis are met and β = 0, then R² has a beta distribution with the mean

Exercise 28

Verify that the formula for t of Theorem 4 can be written as

Theorem 4

Under the assumptions of normal regression analysis,

is a value of a random variable having the t distribution with n - 2 degrees of freedom.

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