The probability distribution of the error variable $\varepsilon$ is supposed to be normal, with mean E( $\varepsilon$ ) = 0 and constant standard deviation $\sigma _ { \varepsilon }$ .

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In a linear regression model, the error term $\varepsilon$ is often assumed to be normally distributed with a mean of 0 and a constant standard deviation, which ensures homoscedasticity and allows for valid inference.

The Probability Distribution of the Error Variable ε\varepsilonε Is Supposed to Be Normal, with Mean E

The Probability Distribution of the Error Variable $\varepsilon$ Is Supposed to Be Normal, with Mean E