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I'm studying time series and in one of my resources I encountered the following:

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The part which I have marked is the one I don't understand?!...is that autocovariance or what? Can someone write the formula more explicitly or something?

Thnx =)

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Do you know matrix algebra? Do you know the linear regression model? This is a result about simple regression and the quantity as written here either could or could not be related to autocovariances depending on what is inside $z_t$. – Learner Jan 22 at 12:08
Yes I do know =) But for some reason I don't understand that notation... – jjepsuomi Jan 22 at 12:14
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Please take a look at the formula for the variance matrix here en.wikipedia.org/wiki/… (second formula). This is a general result. Maybe if you try to think about it in that simpler context, things could get clearer. – Learner Jan 22 at 12:25

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