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

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

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...

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Bibliographic Details
Main Authors: Yukai Yang, Luc Bauwens
Format: Article
Language:English
Published: MDPI AG 2018-12-01
Series:Econometrics
Subjects:
state-space models
Stiefel manifold
matrix Langevin distribution
filtering
smoothing
Laplace method
dynamic factor model
cointegration
Online Access:https://www.mdpi.com/2225-1146/6/4/48

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https://www.mdpi.com/2225-1146/6/4/48

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