Week 2 Flashcards
1
Q
What is a structural time series model?
A
2
Q
What is the State Space Model?
A
3
Q
What is the observation and state update equation of the State Space model?
A
4
Q
How is the State Space model initialized?
A
5
Q
What is the entire definition of the Linear Gaussian Model (State Space Model)?
A
6
Q
What are the key advantages of the State Space Form? (name 6)
A
7
Q
What is the LLM in state space form? (i.e., what is Z_t, alpha_t, H_t, T_t, R_t and Q_t)
A
8
Q
What is the Side Result of this Lemma?
A
9
Q
How do you show that the assumptions of a LLM hold, Lemma 2 (step 2 of proving KF)?
A
10
Q
TBD KALMAN FILTER AND KALMAN SMOOTHER PROOF
A
11
Q
How does MLE work for the State Space model?
A
12
Q
A
