$\newcommand{\one}{\mathbf 1}$In this post I’m going to consider the following situation: there is a latent unobserved continuous-state Markov chain $Z…
$\newcommand{\e}{\varepsilon}$$\newcommand{\E}{\text{E}}$$\newcommand{\C}{\mathcal C}$$\newcommand{\0}{\mathbf 0}$Consider the linear model $y = X\beta+\e$ with $\E\e = \0$, $\E \e\e^T = \sigma^2 I$, and $X\in\mathbb…
$\newcommand{\e}{\varepsilon}$Suppose I’ve got a linear model $y = X\beta + \e$ with $\e \sim \mathcal N(0, \sigma^2 I)$ and $X\in\mathbb…