System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
example is not a classical linear model, it cannot be efficiently estimated using Ordinary Least Squares. So how do we estimate it? A promising approach happens to be to use the Generalized Least Squares (GLS) and Feasible Generalized Least Squares (FGLS) which I have covered in detail in this