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Tom's edit of svd lecture -- added a transpose
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lectures/svd_intro.md

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@@ -690,7 +690,7 @@ where
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* $X_t$ is an $m \times 1$ vector
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* $\check A$ is an $m \times m$ matrix of rank $r$ whose eigenvalues are all less than $1$ in modulus
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* $\epsilon_{t+1} \sim {\mathcal N}(0, I)$ is an $m \times 1$ vector of i.i.d. shocks
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* $E \epsilon_{t+1} X_t = 0$, so that the shocks are orthogonal to the regressors
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* $E \epsilon_{t+1} X_t^T = 0$, so that all shocks are orthogonal to all regressors
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To link this model to a dynamic mode decomposition (DMD), again take
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