System Of Equations, Generalized Linear Model, Linear Regression, Covariance Matrix, Kronecker Product.
= 6 coefficients to be estimated in all. Just for the purpose of illustration, we’ll consider a tiny subset of a made-up data set that contains the Risk Adjusted Returns (RAR) for the three stocks over five time points, i.e. , each model is fed a data set of 5 samples. Thus N = 5. Here’s how this