System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
observations each for k_1 variables including the regression intercept at column 1. Similarly, X_2, X_3, …, X_M contain N observations each for k_2, k_3,…k_M regression variables. That would make X_1 a matrix of size [N x k_1], X_2 of size [N x k_2], and so on and X_M of size [N x k_M]. Here’s how