System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
matrices X_1, X_2, …, X_m, …,X_M has N rows corresponding to the N data samples fed into each equation. Hence the the stacked X matrix has MN rows. Each matrix X_m has potentially a different number of columns k_m. The stacked X contains (k_1+k+2+…+k_m+…+k_M) columns. All off-diagonal positions in