System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
Kronecker product Σ ⊗ I is built to yield Ω (Image by Author) In general, if a SUR model is constructed over a system of M equations, the Σ matrix is of size [M x M]. If each equation in the system is fed N data samples, the I matrix is of size [N x N]. And Σ ⊗ I yields the covariance matrix of