Regression Equations, Generalized Least Squares, Correlation Matrices, Python, Statsmodels.
useful to think of the S matrix as an element-wise summation of N layers, each layer being of size [M x M]. Each [M x M] ‘layer’ is a matrix product of two vectors, e_t and e’_t (e_t_transpose) such that e’_t is the t-th row of the residuals in E. e’_t is a row vector of size [1 x M] thereby making