A doubt about independence - simple state space model

27 Views Asked by At

I'm following Tsay's "Analysis of Financial Time Series", chapter 11.

The topic is derive the Kalman filter in the simple case of the local linear model $$ y_t = \mu_t + e_t \\ \mu_{t+1} = \mu_t + \eta_t $$ with $\{e_t\}$, $\{\eta_t\}$ independent zero-mean gaussian noise with variances, respectively, $\sigma^2_e$ and $\sigma^2_\eta$.

Further notation:

  • $F_t = \{y_1, \ldots , y_t \}$ is the set of observations from time $1$ to time $t$;
  • $y_{t \mid t-1} = E \left( y_t \mid F_{t-1} \right)$ is the prediction of the observation;
  • $v_t = y_t - y_{t \mid t-1}$, is the 1-step forecast error.

I find "the forecast error $v_t$ is independent of $F_{t-1}$" so $$ Var \left( v_t \mid F_{t-1} \right) = Var \left( v_t \right), $$ and also "the information set $F_t$ can be written as $F_t = \left\{ F_{t-1}, y_t \right\} = \left\{ F_{t-1}, v_t \right\}$".

I'm not seeing this independence, or "equivalence" in knowing $y_t$ or $v_t$.

Someone could help? Thank you