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State-space models on the Stiefel manifold with a new approach to nonlinear filtering
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State-space models on the Stiefel manifold with a new approach to nonlinear filtering
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Journal Article
State-space models on the Stiefel manifold with a new approach to nonlinear filtering
2018
Overview
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.
Publisher
MDPI,MDPI AG
