System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
Author) The sample variances (or covariances) from an OLS estimated linear model happen to be unbiased estimates of the corresponding population variances (or covariances). Hence, we can use s²_ii as an estimate for the corresponding diagonal element σ²_ii in Σ. Now let’s look at the off-diagonal