System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
techniques, we can construct the following [3 x 3] (or in general, an M x M) S matrix that will be an unbiased estimate of the Σ matrix: The matrix of sample variances and covariances of residual errors (Image by Author) With the S matrix in place, we will proceed with the GLS (more appropriately,