A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices

This article discusses Windle and Carvalho's (2014) state-space model for observations and latent variables in the space of positive symmetric matrices. The present discussion focuses on the model specification and on the contribution to the positive-value time series literature. I apply the proposed model to financial data with a view to shedding light on some modeling issues.

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Year of publication:	2014
Authors:	Casarin, Roberto
Institutions:	Dipartimento di Economia, Università Ca' Foscari Venezia
Subject:	Exponential Smoothing \| Positive-Valued Processes \| State-Space Models \| Stochastic Volatility

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2014:23 14 pages
Classification:	C11 - Bayesian Analysis ; c18 ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011099466