System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
(Image by Author) The Kronecker product of Σ and I is done as follows: We create a placeholder matrix of size [5 x 5]. Next, we multiply each element σ²_ij in Σ with the entire [5 x 5] Identity matrix giving us a [5 x 5] diagonal matrix having σ²_ij along its main diagonal. We replace the element