Hi,
I really appreciate the appendix explaining Eigen values.
But Found it difficult to understand the core reading and provided examples in Chapter 14 section 5. I have two specific questions:
Chap 14 section 5 "multivariate time series" (Pg 33 in 2019 version) states: "The components of X_t will be denoted X_t(1),...X_t(m)"
Question 1) Is this a one-step ahead forecast or simply the same as Xt-1, Xt-2,...Xt-m?
The Chapter 14 Summary sheet says that an AR(2) time series can be shown as X_t=AX_t-1+et
Question 2) How exactly does the vector notation (eg. X_t) work- How would one know that 'X_t' notation means a vector only including the terms Xt and Xt-1; while the notation X_t-1 refers to a vector only including the terms Xt-1 & Xt-2?
I really appreciate the appendix explaining Eigen values.
But Found it difficult to understand the core reading and provided examples in Chapter 14 section 5. I have two specific questions:
Chap 14 section 5 "multivariate time series" (Pg 33 in 2019 version) states: "The components of X_t will be denoted X_t(1),...X_t(m)"
Question 1) Is this a one-step ahead forecast or simply the same as Xt-1, Xt-2,...Xt-m?
The Chapter 14 Summary sheet says that an AR(2) time series can be shown as X_t=AX_t-1+et
Question 2) How exactly does the vector notation (eg. X_t) work- How would one know that 'X_t' notation means a vector only including the terms Xt and Xt-1; while the notation X_t-1 refers to a vector only including the terms Xt-1 & Xt-2?