System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
at the (i, j)th position of the [5 x 5] size placeholder matrix with this [5 x 5] size diagonal matrix. We repeat steps 2 and 3 for each i,j=1, 2, 3 to create a matrix of size [15 x 15]. The following figure illustrates how the Kronecker product is built block-by-block: An illustration of how the