System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
even more concisely by pulling out all nine σ² elements into their own [3 x 3] matrix that we’ll call Σ (capital Sigma) and performing what’s known as a Kronecker product of Σ with a [5 x 5] Identity matrix: The covariance matrix of errors for the 3-equation system expressed as a Kronecker product