This article discusses the 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 nancial data with a view to shedding light on some modeling issues.
A Note Tractable State-Space Models for Symmetric Positive-Definite Matrices
CASARIN, Roberto
2014-01-01
Abstract
This article discusses the 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 nancial data with a view to shedding light on some modeling issues.
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