System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
column vector of size [MN x 1]. Similarly, the matrix of coefficients β is a stacked column matrix (vector) of size [(k_1+k_2+…+k_M) x 1]. The regression errors matrix ϵ has the same dimensions as the stacked y matrix namely a column vector of size [MN x 1]. Let’s look at the stacked X matrix. It