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In the below:

enter image description here

from top of Page 13:

how do you interpret what x is an element of? It looks like the set of real numbers, transposed, power set with p?? :s

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You draw the real number line, and then rotate it by 90 degrees :) – nbubis Jul 13 '13 at 20:52
Seriously.....? It's just a vector of the real numbers? What about the "x p" part? – user997112 Jul 13 '13 at 20:54
I think you'll need to specify what $T$ and $p$ are. – Jack M Jul 13 '13 at 20:54
@JackM T is not defined, I believe it does mean transposed. I will link the paper if you want to see. p stands for a stock price. – user997112 Jul 13 '13 at 20:55
What if $\mathbb R^p$ means column vectors and $\mathbb R^{T \times p}$ means row vectors? No: $p$ is a real number, a variable, isn't it? – Francesco Genovese Jul 13 '13 at 20:55
up vote 2 down vote accepted

I still think it's a typo, and that there should be an $n$. If you look at other papers/sources on time-varying covariates (for example, this one), they say that $\mathbf{x_i}$ is column vector, and since we know $\beta$ is also a column vector, it has to be a dot product (implying T is the transpose operation). I think it's just errors and incorrect notation in the paper you're looking at. Based on what I've seen, it should say something like:

$$ \beta\in\mathbb{R}^p, \quad\mathbb{x_t}\in\mathbb{R}^{p\times n} $$


  • The summations being provided later in your paper do not have enough $\mathbb{x_i}$ vectors
  • The dot product between $\mathbb{x_i}$ and $\beta$ is undefined
  • If T were a variable, it is never clearly defined
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Oh sorry didn't realise this is what you pointed out in your other answer!!! It wasn't because I didn't trust your judgement :) – user997112 Jul 13 '13 at 21:47
No worries, I had to stop and look at it a bit myself, it's a pretty confusing (and awful) typo, to be honest. :) – Kendra Lynne Jul 13 '13 at 21:50
Don't suppose you could glance at this one could you:… you'll know the answer in about 5 seconds! :) – user997112 Jul 13 '13 at 22:03

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