y = Xβ + ε

y N×1
X N×p

β
ε N×1 (
N 0, σ 2I N )
 y i = x iβ + ε i

y i, i = 1, …, N i
xi i X
∀i
β
εi i ( )
N 0, σ 2

Y i, i = 1, …, n
 N×1 y

u v, v = 1, …, r qv v
u1 q1

q = ∑ rv = 0q v q×1
u = [u T, ⋯, u T] T
1 r
 Z v, v = 1, …, r N × qv v
u1 q1 = n Z1
u1 i i
i = 1, …, n

y l
1 l 2
N=l⋅n l=4

N×q Z = [Z 1, ⋯, Z r]
 r
y = Xβ + ∑ Z vu v + ε
v=1
= Xβ + Zu + ε

u ∼ N(0, Ψ) Ψ q×q

Ψ var(u v) = D vv cov(u v, u v ′ ) = D vv ′

cov(u v, ε) = 0, ∀v = 1, …, r
 ε
u0 N×N Z0 = IN

(N + q) × 1
u∗ = [u T0 , u T1 , ⋯, u Tr] T N × (N + q) Z ∗ = [Z 0, Z 1, ⋯, Z r]

r
y = Xβ + ∑ Z vu v
v=0
= Xβ + Z ∗u ∗
n

y = [y T1 , …, y Ti, …, y Tn] T

[
Z v = z T1v, …, z Tiv, …, z Tnv ] T

[
X = x T1 , …, x Ti, …, x Tn ] T

ε = [ε T1 , …, ε Ti, …, ε Tn]

r
y i = x iβ + ∑ z ivu v + ε i
v=1
u v ∼ N(0, D v) D v q v × q v

[ ]
cov u v, u v ′ = D vv ′ D vv = D v

cov [u v, ε i ] = 0, ∀i, v
ε i ∼ N(0, σ 2I n)
n×1 y i, ∀i
n×p x i, ∀i
n × qv z iv, ∀i
qv × 1 u v, ∀v
qv × qv′ D vv ′
xi

z iv = z v ∀i D v = σ 2v I q
v

[ ]
cov u v, u v ′ = D vv ′ = 0

D vv ′ σ 2vv ′
qv = qv′ D vv ′ = σ 2vv ′I q .
v
 ⊗

r
y i = x iβ + ∑ z ivu v + ε i,
v=1

r=1 J
n

u 1 = [u 11 … u 1n] T
z iv J×n i
Z = In ⊗ ιJ ιJ J Z (n ⋅ J) × n ⋅ 1 = N × n
 vec(y i) = Xβ + (I n ⊗ ι q)u 1 + vec(ε i),

vec

n×p x
i

X = x ⊗ ιJ

vec(y i) = (x ⊗ ι J)β + (I n ⊗ ι q)u 1 + vec(ε i),

 y = Xβ + Zu + ε
r
= Xβ + ∑ Z vu v + ε
v=1

E[y] = Xβ
Var[y] = var(Zu) + σ 2I N
var[y] = ZΨZ T + σ 2I N
 [ ]
E y i = x iβ

var (y i ) = ∑ rv = 1 ∑ rv = 1z ivD vv z Tiv + σ 2I n

′ ′ ′

( )
var y i = ∑ rv = 1z ivD vz Tiv + σ 2I n

z iv = z v ∀i

( )
var y i = ∑ rv = 1σ 2v z ivz Tiv + σ 2I n.