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.

Comment on a Tractable State-Space Model for Symmetric Positive-Definite Matrices

CASARIN, Roberto
2014-01-01

Abstract

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.
2014
9
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/42329
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