System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
vectors of regression errors, each of size [N x 1]. Here’s how the regression errors vector for the M-th equation looks like. The first and second subscripts on ϵ have the same meaning as for β: The vector of regression errors for the M-th model (Image by Author) And here’s how these matrices come