Sign in
Back
State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering
Journal article   Open access  Peer reviewed

State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering

Yukai Yang and Luc Bauwens
Econometrics, Vol.6(4), pp.1-22
2018
DOI: https://doi.org/10.3390/econometrics6040048

Abstract

state-space models Stiefel manifold matrix Langevin distribution filtering smoothing Laplace method dynamic factor model cointegration
We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the parameters of cointegrating relations in vector error-correction models. The corresponding nonlinear filtering algorithms are developed and evaluated by means of simulation experiments.
pdf
2018_JournalArticle_YangYukai_StateSpaceModels706.91 kBDownloadView
Published (Version of record)CC BY V4.0,  Open Access
url
https://doi.org/10.3390/econometrics6040048View
Published (Version of record)CC BY V4.0,  Open

Metrics

1 Record Views
1 Times Cited - Web of Science

Details