ABSTRACT
In the previous chapters, we have focused on a response y that was 1-dimensional. In many cases, we do not focus on a single quantity y∈R, but rather on a T -dimensional vector y = (y1, . . . ,yT ) ∈ RT of measurements. It is, of course, possible to analyze each coordinate yt independently, but it is usually wise to analyze simultaneously the T coordinates y1, . . . ,yT . Actually, when y1, . . . ,yT are the outcome of a common process, they usually share some common structures, and handling the T measurements y1, . . . ,yT together enables to rely on these structures.
