System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
following set of M linear regression models: A system of M linear regression models (Image by Author) Let’s assume that we have fed each model with N samples of data. That would mean that y_1, y_2, y_3,…,y_M are all vectors of size [N x 1]. Let’s look at how the y vector for the M-th equation looks