Time Series Regression and EDA
Robert H. Shumway, David S. Stoffer · 2019
We first consider the problem where a time series, say, x t , for t = 1,…, n , is possibly being influenced by a collection of fixed series, say, z t 1 , z t 2 , … , z t q https://s3-euw1-ap-pe-df-pch-content-public-p.s3.eu-west-1.amazonaws.com/9780429273285/135b6a97-7435-4767-85a7-cb583c24806b/content/eq147.tif"/> . The data collection with q = 3 exogenous variables is as follows: Time Dependent Variable Independent Variables 1 x 1 z 11 z 12 z 13 2 x 2 z 21 z 22 z 23 ⋮ ⋮ ⋮ ⋮ ⋮ n x n z n 1 z n 2 z n 3