System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
of the main diagonal of this matrix: A zoomed in view of the portion of the diagonal of the covariance matrix (Image by Author) The diagonal elements of Cov(ϵ) are ϵ²_ti/5 where t=1,2,…,5 for the 5 data samples supplied to each CAPM model, and i=1,2,3 for each of the three CAPM models in the