How to create a Matrix with Label on its top?

With {bNiceMatrix} of nicematrix:

\documentclass{article}
\usepackage{nicematrix}

\begin{document}
\[T_i = 
\begin{bNiceMatrix}[first-row]
W_1 & W_2 & W_3 & \cdots & W_m \\ 
e_{11} & e_{22} & e_{31} & \cdots & e_{m1} \\
e_{12} & e_{22} & e_{32} & \cdots & e_{m2} \\
e_{13} & e_{23} & e_{33} & \cdots & e_{m3} \\
\vdots & \cdots & \cdots & \cdots & \vdots \\
e_{1K} & e_{2K} & e_{3K} & \cdots & e_{mK} \\
\end{bNiceMatrix}
\]
\end{document}

There is \bordermatrix macro in plain TeX:

$$
  \delcode`(=\delcode`[  \delcode`)=\delcode`]
  T_i =
  \bordermatrix{ & W_1    & W_2    & W_3    & \cdots & W_m    \cr
                 & e_{11} & e_{21} & e_{31} & \cdots & e_{m1} \cr 
                 & e_{12} & e_{22} & e_{32} & \cdots & e_{m2} \cr 
                 & e_{13} & e_{23} & e_{33} & \cdots & e_{m3} \cr 
                 & \vdots & \cdots & \cdots & \cdots & \vdots \cr
                 & e_{13} & e_{23} & e_{33} & \cdots & e_{m3} \cr }
$$

\bye

You are almost done, you only need to change tip of brackets in block and replace matrix elements, where you like to have dots with \cdots for horizontal dots and \vdots for vertical:

\documentclass{article}
\usepackage{blkarray}

\begin{document}
\[T_i =
\begin{blockarray}{ccccc}
W_1 & W_2 & W_3 & \cdots & W_m \\
\begin{block}{[ccccc]}  % <--- observe [ and ] 
e_{11} & e_{22} & e_{31} & \cdots & e_{m1} \\
e_{12} & e_{22} & e_{32} & \cdots & e_{m2} \\
e_{13} & e_{23} & e_{33} & \cdots & e_{m3} \\
\vdots & \cdots & \cdots & \cdots & \vdots \\ % <--- observe dots
e_{1K} & e_{2K} & e_{3K} & \cdots & e_{mK} \\ % <--- observe dots
\end{block}
\end{blockarray}
\]
\end{document}

Code is simple and for final result need only one compilations.