Ψ | the information set |
βt|t−1 = E[(βt|Ψt−1] | expectation (estimate) of βt, conditional on information up to t−1 |
Pt|t−1 = E[(βt − βt|t−1)(βt − βt|t−1)′] | covariance matrix of βt, conditional on information up to t−1 |
βt|t = E[(βt|Ψt] | expectation (estimate) of βt, conditional on information up to t |
Pt|t = E[(βt − βt|t)(βt − βt|t)′] | covariance matrix of βt, conditional on information up to t |
yt|t−1 = E[(yt|Ψt−1] | forecast of yt, given information up to time t−1 |
ηt|t−1 = yt − yt|t−1 | prediction error |
ft|t-1=E[ ηt|t-12 ] | conditional variance of the prediction error |