CHAPTER 7FORECASTING WITH BIG DEPENDENT DATA
Let 
be a scalar variable of interest and 
be a collection of 
explanatory variables, which may contain some lagged values of 
. In this chapter, we focus on the problem of predicting 
given 
, where 
is the forecast origin and 
is the forecast horizon. For ease in presentation, let 
be the available information at time 
. Mathematically, 
denotes the -field ...
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