System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
Generalized Least Squares to efficiently estimate β. The GLS estimator mentioned earlier in Eq (5) is reproduced below. The Generalized Least Squares Estimator for β (Image by Author) To estimate β, we need to know X, X’, y, and the inverse of the covariance matrix of errors Ω. X, X’, y are