System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
tiny slice of the data looks like: A 5-sample data set of risk adjusted returns of three stocks (Image by Author) Now let’s look at how the block matrices for this data will look like. Here’s the block y matrix of size [15 x 1]: The block y matrix (Image by Author) Following is the block matrix of